Abstract
In this paper, we first construct a Euler–Maruyama type scheme for Caputo stochastic fractional differential equations (for short Caputo SFDE) of order α∈(12,1) whose coefficients satisfy a standard Lipschitz and a linear growth bound condition. The strong convergence rate of this scheme is established. In particular, it is α−12 when the coefficients of the SFDE are independent of time. Finally, we establish results on the convergence and stability of an exponential Euler–Maruyama scheme for bilinear scalar Caputo SFDEs
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