@Article{EAJAM-12-673,
author = {Jinhong Jia, Zhiwei Yang, Xiangcheng Zheng and Hong Wang},
title = {Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation },
journal = {East Asian Journal on Applied Mathematics},
year = {2022},
volume = {12},
number = {3},
pages = {673--695},
abstract = {
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}
}
TY - JOUR
T1 - Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation
AU - Jinhong Jia, Zhiwei Yang, Xiangcheng Zheng & Hong Wang
JO - East Asian Journal on Applied Mathematics
VL - 3
SP - 673
EP - 695
PY - 2022
DA - 2022/04
SN - 12
DO - http://doi.org/10.4208/eajam.311021.220222
UR - https://global-sci.org/intro/article_detail/eajam/20413.html
KW - Variable-order fractional stochastic differential equation, hidden memory, Euler-Maruyama method, strong convergence.
AB -
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.
Jinhong Jia, Zhiwei Yang, Xiangcheng Zheng and Hong Wang. (2022). Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation .
East Asian Journal on Applied Mathematics. 12 (3).
673-695.
doi:10.4208/eajam.311021.220222
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