Title of article :
the convergence of exponential euler method for weighted fractional stochastic equations
Author/Authors :
mahmoudi, fatemeh islamic azad university, karaj branch - department of mathematics, karaj, iran , tahmasebi, mahdieh tarbiat modares university - department of mathematical sciences, tehran, iran
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 l^2-maximal bound for the stochastic integrals in this case.
Keywords :
malliavin calculus , stochastic differential equations , weighted fractional brownian motion , exponential euler scheme
Journal title :
Computational Methods for Differential Equations
Journal title :
Computational Methods for Differential Equations
