East Asian J. Appl. Math., 12 (2022), pp. 673-695.
Published online: 2022-04
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We prove the well-posedness of a nonlinear hidden-memory variable-order fractional stochastic differential equation driven by a multiplicative white noise, in which the hidden-memory type variable order describes the memory of a fractional order. We then present a Euler-Maruyama scheme for the proposed model and prove its strong convergence rate. Numerical experiments are performed to substantiate the theoretical results.
}, issn = {2079-7370}, doi = {https://doi.org/10.4208/eajam.311021.220222}, url = {http://global-sci.org/intro/article_detail/eajam/20413.html} }We prove the well-posedness of a nonlinear hidden-memory variable-order fractional stochastic differential equation driven by a multiplicative white noise, in which the hidden-memory type variable order describes the memory of a fractional order. We then present a Euler-Maruyama scheme for the proposed model and prove its strong convergence rate. Numerical experiments are performed to substantiate the theoretical results.