Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method (Q1986535): Difference between revisions

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English	Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method	scientific article

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scholarly article

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title

Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method (English)

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Advances in Computational Mathematics

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publication date

8 April 2020

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zbMATH Keywords

stochastic Volterra integral equations

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weakly singular kernels

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Lévy noise

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sum-of-exponentials approximation

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fast EM method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10444-020-09780-4

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cites work

Numerical solution of Itô-Volterra integral equation by least squares method

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Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes

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Q3899268

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Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations

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On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

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Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise

0 references

Global solutions to stochastic Volterra equations driven by Lévy noise

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An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics

0 references

Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations

0 references

An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

0 references

Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations

0 references

Q4004325

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Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

0 references

Unconditional convergence of a fast two-level linearized algorithm for semilinear subdiffusion equations

0 references

Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions

0 references

Q5429735

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A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations

0 references

Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations

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Integral and Discrete Inequalities and Their Applications

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Controllability of nonlinear stochastic neutral fractional dynamical systems

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Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion

0 references

An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations

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Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients

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Weakly singular Gronwall inequalities and applications to fractional differential equations

0 references

Improved rectangular method on stochastic Volterra equations

0 references

Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations: A Second-Order Scheme

0 references

Euler schemes and large deviations for stochastic Volterra equations with singular kernels

0 references

Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations

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Identifiers

zbMATH Open document ID

1457.60103

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DOI

10.1007/s10444-020-09780-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1986535

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10444-020-09780-4
+Normal rank
@@ Property / OpenAlex ID @@
+W3012124794
@@ Property / OpenAlex ID: W3012124794 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of Itô-Volterra integral equation by least squares method
+Normal rank
@@ Property / cites work @@
+Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
+Normal rank
@@ Property / cites work @@
+Q3899268
@@ Property / cites work: Q3899268 / rank @@
+Normal rank
@@ Property / cites work @@
+Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
+Normal rank
@@ Property / cites work @@
+On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
+Normal rank
@@ Property / cites work @@
+Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
+Normal rank
@@ Property / cites work @@
+Global solutions to stochastic Volterra equations driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
+Normal rank
@@ Property / cites work @@
+Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
+Normal rank
@@ Property / cites work @@
+Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Unconditional convergence of a fast two-level linearized algorithm for semilinear subdiffusion equations
+Normal rank
@@ Property / cites work @@
+Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
+Normal rank
@@ Property / cites work @@
+Q5429735
@@ Property / cites work: Q5429735 / rank @@
+Normal rank
@@ Property / cites work @@
+A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Integral and Discrete Inequalities and Their Applications
+Normal rank
@@ Property / cites work @@
+Controllability of nonlinear stochastic neutral fractional dynamical systems
+Normal rank
@@ Property / cites work @@
+Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
+Normal rank
@@ Property / cites work @@
+An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Weakly singular Gronwall inequalities and applications to fractional differential equations
+Normal rank
@@ Property / cites work @@
+Improved rectangular method on stochastic Volterra equations
+Normal rank
@@ Property / cites work @@
+Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations: A Second-Order Scheme
+Normal rank
@@ Property / cites work @@
+Euler schemes and large deviations for stochastic Volterra equations with singular kernels
+Normal rank
@@ Property / cites work @@
+Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
+Normal rank