The convergence of a numerical scheme for additive fractional stochastic delay equations with H>12

Fatemeh Mahmoudi and Mahdieh Tahmasebi

Mathematics and Computers in Simulation (MATCOM), 2022, vol. 191, issue C, 219-231

Abstract: In this paper, we investigate the strong convergence of the exponential Euler method to stochastic delay differential equations with fractional Brownian motion (FSDDEs) of Hurst parameter H∈(12,1). We establish the strong convergence rate H of the method for FSDDEs to the exact solution. Also we justify our theoretical results with some numerical examples of these equations alongside insignificant step size.

Keywords: Stochastic delay differential equations; Fractional Brownian motion; Exponential Euler scheme; Strong convergence (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:191:y:2022:i:c:p:219-231

DOI: 10.1016/j.matcom.2021.08.010

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