The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations

Abstract

. In this paper, we first prove the existence and uniqueness theorem of the solution of nonlinear variable-order fractional stochastic differential equations (VFS-DEs). We futher constructe the Euler-Maruyama method to solve the equations and prove the convergence in mean and the strong convergence of the method. In particular, when the fractional order is no longer varying, the conclusions obtained are consistent with the relevant conclusions in the existing literature. Finally, the numerical experiments at the end of the article verify the correctness of the theoretical results obtained.