Hallucinations in large language models (LLMs) pose significant challenges in tasks requiring complex multi-step reasoning, such as mathematical problem-solving. Existing approaches primarily detect the presence of hallucinations but lack a nuanced understanding of their types and manifestations. In this paper, we first introduce a comprehensive taxonomy that categorizes the common hallucinations in mathematical reasoning tasks into six types. We then propose FG-PRM (Fine-Grained Process Reward Model), an augmented model designed to detect and mitigate hallucinations in a fine-grained, step-level manner. To address the limitations of manually labeling training data, we propose an automated method for generating fine-grained hallucination data using LLMs. Our FG-PRM demonstrates superior performance across two key tasks: 1) Fine-grained hallucination detection: classifying hallucination types for each reasoning step; and 2) Verification: ranking multiple LLM-generated outputs to select the most accurate solution. Our experiments show that FG-PRM excels in fine-grained hallucination detection and substantially boosts the performance of LLMs on GSM8K and MATH benchmarks. These results highlight the benefits of fine-grained supervision in enhancing the reliability and interpretability of LLM reasoning processes.