加权分数阶随机方程的指数Euler方法的收敛性

IF 1.1 Q2 MATHEMATICS, APPLIED

Computational Methods for Differential Equations Pub Date : 2021-05-01 DOI:10.22034/CMDE.2021.41430.1795

M. Tahmasebi, F. Mahmoudi

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引用次数: 0

摘要

在本文中，我们提出了一种指数Euler方法来近似由加权分数布朗运动B{a，B}驱动的随机泛函微分方程在a和B的一些假设下的解。在这种情况下，我们证明了随机积分的L2-极大界后，还获得了该方法对真解的收敛速度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Convergence of exponential Euler method for weighted fractional stochastic equations

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.

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来源期刊

Computational Methods for Differential Equations MATHEMATICS, APPLIED-

CiteScore

2.20

自引率

27.30%

发文量

审稿时长

4 weeks