{"title":"The Convergence of exponential Euler method for weighted fractional stochastic equations","authors":"M. Tahmasebi, F. Mahmoudi","doi":"10.22034/CMDE.2021.41430.1795","DOIUrl":null,"url":null,"abstract":"In this paper, we propose an exponential Euler method to approximate the solution of a stochastic functional differential equation driven by weighted fractional Brownian motion B{a,b} under some assumptions on a and b. We obtain also the convergence rate of the method to the true solution after proving an L2 -maximal bound for the stochastic ntegrals in this case.","PeriodicalId":44352,"journal":{"name":"Computational Methods for Differential Equations","volume":null,"pages":null},"PeriodicalIF":1.1000,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Methods for Differential Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22034/CMDE.2021.41430.1795","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we propose an exponential Euler method to approximate the solution of a stochastic functional differential equation driven by weighted fractional Brownian motion B{a,b} under some assumptions on a and b. We obtain also the convergence rate of the method to the true solution after proving an L2 -maximal bound for the stochastic ntegrals in this case.