Continuity and approximation properties of solutions to fractional neutral stochastic functional differential equations with non-Lipschitz coefficients

ABSTRACT This paper aims to investigate a fractional neutral stochastic functional differential equation (FNSFDE) with non-Lipschitz coefficients. Under the assumptions, we first establish the continuity of the solution in the fractional order of the equation. Furthermore, an Euler-Maruyama (EM) approximation is constructed and then we obtain the strong convergence of the numerical scheme. Specially, if the non-Lipschitz conditions are replaced with the Lipschitz conditions, we shall get a definite convergence rate, which is related to the fractional order of the equation. Finally, we consider the averaging principle for the fractional neutral stochastic equation, which provides us with an easy way to study the properties of the equation.