Fast $\theta$-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis (Q2695670): Difference between revisions

Latest revision as of 19:46, 19 December 2024

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English	Fast $\theta$-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis	scientific article

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Fast $\theta$-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis (English)

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Computational and Applied Mathematics

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publication date

31 March 2023

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zbMATH Keywords

stochastic Volterra integral equation

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convolution kernel

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fast $\theta$-Maruyama method

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mean-square stability

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local Lipschitz condition

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strong convergence

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s40314-023-02248-3

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cites work

A variation of constant formula for Caputo fractional stochastic differential equations

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Approximation by exponential sums revisited

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems

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Fast Runge-Kutta methods for nonlinear convolution systems of Volterra integral equations

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Nonlinear Heat Transfer Problem

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A Nonlinear Theory of Viscoelasticity for Application to Elastomers

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Asymptotic stability of linear fractional systems with constant coefficients and small time-dependent perturbations

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Fast collocation methods for Volterra integral equations of convolution type

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On the stability of $\vartheta$-methods for stochastic Volterra integral equations

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Improved $\vartheta$-methods for stochastic Volterra integral equations

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

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Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation

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Euler-Maruyama scheme for Caputo stochastic fractional differential equations

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The characteristic function of rough Heston models

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

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Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay

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A fast sparse spectral method for nonlinear integro-differential Volterra equations with general kernels

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Fast Numerical Solution of Nonlinear Volterra Convolution Equations

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Fractional-order relaxation laws in nonlinear viscoelasticity

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Multifactor Approximation of Rough Volatility Models

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Efficient sum-of-exponentials approximations for the heat kernel and their applications

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

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Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation

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Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations

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Strong convergence rates of modified truncated EM method for stochastic differential equations

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A Fast Time Stepping Method for Evaluating Fractional Integrals

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Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations

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

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Fast Convolution for Nonreflecting Boundary Conditions

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A wavelet-based computational method for solving stochastic Itô-Volterra integral equations

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Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Strong Convergence of the Euler-Maruyama Method for Nonlinear Stochastic Volterra Integral Equations with Time-Dependent Delay

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Discrete-time simulation of stochastic Volterra equations

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On the asymptotic behavior of solutions to time-fractional elliptic equations driven by a multiplicative white noise

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Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion

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Fast high-order integral equation methods for solving boundary value problems of two dimensional heat equation in complex geometry

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Autoconvolution equations of the third kind with power-logarithmic coefficients

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

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Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions

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Fast One-Dimensional Convolution with General Kernels Using Sum-of-Exponential Approximation

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Mathematics Subject Classification ID

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10.1007/S40314-023-02248-3

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Mathematics(1 entry)

mardi Publication:2695670

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Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis (Q2695670): Difference between revisions

Latest revision as of 19:46, 19 December 2024

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Mathematics(1 entry)