The Euler Scheme for Caputo Fractional Stochastic Differential Equations
Reporter:
Peter E. Kloeden, University of Tuebingen
Inviter:
Jialin Hong, Professor
Subject:
The Euler Scheme for Caputo Fractional Stochastic Differential Equations
Time and place:
16:00-17:00 June 30 (Thursday), ZOOM ID: 974 5774 8545
Abstract:
We construct and investigate an Euler-Maruyama type scheme for Caputo stochastic fractional differential equations (for short Caputo SFDE) of order $\alpha$ $\in$ $(1⁄2, 1)$ with coefficients satisfying standard Lipschitz and linear growth bound conditions. The strong convergence rate of this scheme is established. In particular, it is $\alpha -1⁄2$ when the coefficients of the SFDE are independent of time. In addition, the convergence and stability of an exponential Euler-Maruyama scheme for bilinear scalar Caputo SFDEs is considered.