An Euler-Maruyama Method and Its Fast Implementation for Multi-Term
Fractional Stochastic Differential Equations
Abstract
In this paper, we derive an Euler-Maruyama (EM) method for a class of
multi-term fractional stochastic nonlinear differential equations, and
prove its strong convergence. The strong convergence order of this EM
method is
$\min\{\alpha_{m}-0.5,~\alpha_{m}-\alpha_{m-1}\}$,
where
$\{\alpha_{i}\}_{i=1}^{m}$
is the order of Caputo fractional derivative satisfying that
$1>\alpha_{m}>\alpha_{m-1}>\cdots>\alpha_{2}>\alpha_{1}>0$,
$\alpha_{m}>0.5$, and
$\alpha_{m}+\alpha_{m-1}>1$.
Then, a fast implementation of this proposed EM method is also presented
based on the sum-of-exponentials approximation technique. Finally, some
numerical experiments are given to verify the theoretical results and
computational efficiency of our EM method.