A fast Euler–Maruyama method for Riemann–Liouville stochastic fractional nonlinear differential equations

In this paper, based on the sum-of-exponentials approximation, a fast Euler–Maruyama (EM) method is constructed to solve a kind of multi-term Riemann–Liouville stochastic fractional differential equations. Then the strong convergence order min{1−αm,0.5} of the proposed EM method is proved with Riema...

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Bibliographic Details
Published in:Physica. D 2023-04, Vol.446, p.133685, Article 133685
Main Authors: Zhang, Jingna, Lv, Jingyun, Huang, Jianfei, Tang, Yifa
Format: Article
Language:English
Subjects:
Fast Euler–Maruyama method
Multi-term fractional derivatives
Stochastic fractional differential equations
Strong convergence
Sum-of-exponentials approximation
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Summary:In this paper, based on the sum-of-exponentials approximation, a fast Euler–Maruyama (EM) method is constructed to solve a kind of multi-term Riemann–Liouville stochastic fractional differential equations. Then the strong convergence order min{1−αm,0.5} of the proposed EM method is proved with Riemann–Liouville fractional derivatives’ orders satisfying 0
ISSN:0167-2789
1872-8022
DOI:10.1016/j.physd.2023.133685