The Convergence of exponential Euler method for weighted fractional stochastic equations

Abstract

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 L2 -maximal bound for the stochastic ntegrals in this case.