The Convergence of exponential Euler method for weighted fractional stochastic equations

IF 1.1 Q2 MATHEMATICS, APPLIED Computational Methods for Differential Equations Pub Date : 2021-05-01 DOI:10.22034/CMDE.2021.41430.1795
M. Tahmasebi, F. Mahmoudi
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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.
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加权分数阶随机方程的指数Euler方法的收敛性
在本文中,我们提出了一种指数Euler方法来近似由加权分数布朗运动B{a,B}驱动的随机泛函微分方程在a和B的一些假设下的解。在这种情况下,我们证明了随机积分的L2-极大界后,还获得了该方法对真解的收敛速度。
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来源期刊
CiteScore
2.20
自引率
27.30%
发文量
0
审稿时长
4 weeks
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