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Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise

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  • Yang, Zhiwei
  • Zheng, Xiangcheng
  • Zhang, Zhongqiang
  • Wang, Hong

Abstract

We prove the existence and uniqueness of the solution to a variable-order fractional stochastic differential equation driven by a multiplicative white noise, which describes the random phenomena with nonlocal effect. We further develop a Euler-Maruyama scheme and prove the strong convergence of the scheme. Numerical experiments are presented to substantiate the mathematical analysis.

Suggested Citation

  • Yang, Zhiwei & Zheng, Xiangcheng & Zhang, Zhongqiang & Wang, Hong, 2021. "Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    • Handle: RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920307864
    DOI: 10.1016/j.chaos.2020.110392
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    References listed on IDEAS

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    1. Sun, HongGuang & Chen, Wen & Chen, YangQuan, 2009. "Variable-order fractional differential operators in anomalous diffusion modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4586-4592.
    2. Jing Shao, 2014. "New Integral Inequalities with Weakly Singular Kernel for Discontinuous Functions and Their Applications to Impulsive Fractional Differential Systems," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-5, May.
    3. Atangana, Abdon, 2017. "Fractal-fractional differentiation and integration: Connecting fractal calculus and fractional calculus to predict complex system," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 396-406.
    4. Pedjeu, Jean-C. & Ladde, Gangaram S., 2012. "Stochastic fractional differential equations: Modeling, method and analysis," Chaos, Solitons & Fractals, Elsevier, vol. 45(3), pages 279-293.
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    Cited by:

    1. Hendy, Ahmed S. & Zaky, Mahmoud A. & Suragan, Durvudkhan, 2022. "Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 193(C), pages 269-279.

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