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The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\). (English) Zbl 07431702

Summary: In this paper, we investigate the strong convergence of the exponential Euler method to stochastic delay differential equations with fractional Brownian motion (FSDDEs) of Hurst parameter \(H \in (\frac 12, 1 )\). We establish the strong convergence rate \(H\) of the method for FSDDEs to the exact solution. Also we justify our theoretical results with some numerical examples of these equations alongside insignificant step size.

MSC:

65-XX Numerical analysis
60-XX Probability theory and stochastic processes
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