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Mahmoudi, Fatemeh, Tahmasebi, Mahdieh. (1401). The convergence of exponential Euler method for weighted fractional stochastic equations. سامانه مدیریت نشریات علمی, 10(2), 538-548. doi: 10.22034/cmde.2021.41430.1795
Fatemeh Mahmoudi; Mahdieh Tahmasebi. "The convergence of exponential Euler method for weighted fractional stochastic equations". سامانه مدیریت نشریات علمی, 10, 2, 1401, 538-548. doi: 10.22034/cmde.2021.41430.1795
Mahmoudi, Fatemeh, Tahmasebi, Mahdieh. (1401). 'The convergence of exponential Euler method for weighted fractional stochastic equations', سامانه مدیریت نشریات علمی, 10(2), pp. 538-548. doi: 10.22034/cmde.2021.41430.1795
Mahmoudi, Fatemeh, Tahmasebi, Mahdieh. The convergence of exponential Euler method for weighted fractional stochastic equations. سامانه مدیریت نشریات علمی, 1401; 10(2): 538-548. doi: 10.22034/cmde.2021.41430.1795

The convergence of exponential Euler method for weighted fractional stochastic equations

Computational Methods for Differential Equations
مقاله 19، دوره 10، شماره 2، تیر 2022، صفحه 538-548    اصل مقاله (157.36 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2021.41430.1795
نویسندگان
Fatemeh Mahmoudi1؛ Mahdieh Tahmasebi* 2
1Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran.
2Department of Mathematical Sciences, Tarbiat Modares University, P.O. Box 14115-134, Tehran, Iran.
چکیده
‎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 $L^{ 2}$-maximal bound for the stochastic integrals in this case‎.
کلیدواژه‌ها
Malliavin calculus؛ Stochastic differential equations؛ Weighted fractional Brownian motion؛ Exponential Euler scheme
مراجع
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