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Strong Convergence of Euler-Type Methods for Nonlinear Fractional Stochastic Differential Equations without Singular Kernel

Author

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  • Zakaria Ali

    (Department of Mathematical Sciences, University of South Africa, Florida 0003, South Africa)

  • Minyahil Abera Abebe

    (Department of Mathematical Sciences, University of South Africa, Florida 0003, South Africa)

  • Talat Nazir

    (Department of Mathematical Sciences, University of South Africa, Florida 0003, South Africa)

Abstract

In this paper, we first prove the existence and uniqueness of the solution to a variable-order Caputo–Fabrizio fractional stochastic differential equation driven by a multiplicative white noise, which describes random phenomena with non-local effects and non-singular kernels. The Euler–Maruyama scheme is extended to develop the Euler–Maruyama method, and the strong convergence of the proposed method is demonstrated. The main difference between our work and the existing literature is the fact that our assumptions on the nonlinear external forces are those of one-sided Lipschitz conditions on both the drift and the nonlinear intensity of the noise as well as the proofs of the higher integrability of the solution and the approximating sequence. Finally, to validate the numerical approach, current results from the numerical implementation are presented to test the efficiency of the scheme used in order to substantiate the theoretical analysis.

Suggested Citation

  • Zakaria Ali & Minyahil Abera Abebe & Talat Nazir, 2024. "Strong Convergence of Euler-Type Methods for Nonlinear Fractional Stochastic Differential Equations without Singular Kernel," Mathematics, MDPI, vol. 12(18), pages 1-36, September.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:18:p:2890-:d:1479229
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    References listed on IDEAS

    as
    1. M. Abu-Shady & Mohammed K. A. Kaabar, 2021. "A Generalized Definition of the Fractional Derivative with Applications," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-9, October.
    2. Yang, Zhiwei & Zheng, Xiangcheng & Zhang, Zhongqiang & Wang, Hong, 2021. "Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    3. Kim, Hyunsoo & Sakthivel, Rathinasamy & Debbouche, Amar & Torres, Delfim F.M., 2020. "Traveling wave solutions of some important Wick-type fractional stochastic nonlinear partial differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    4. Pedjeu, Jean-C. & Ladde, Gangaram S., 2012. "Stochastic fractional differential equations: Modeling, method and analysis," Chaos, Solitons & Fractals, Elsevier, vol. 45(3), pages 279-293.
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