Euler–Maruyama scheme for Caputo stochastic fractional differential equations

In this paper, we first construct a Euler–Maruyama type scheme for Caputo stochastic fractional differential equations (for short Caputo SFDE) of order [Formula presented] 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 [Formula presented] 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 © 2020 Elsevier B.V.