The convergence of exponential Euler method for weighted fractional stochastic equations
نویسندگان
1 Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran.
2 Department of Mathematical Sciences, Tarbiat Modares University, P.O. Box 14115-134, Tehran, Iran.
doi
10.22034/cmde.2021.41430.1795چکیده
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 $L^{ 2}$-maximal bound for the stochastic integrals in this case.
