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 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

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

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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

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

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

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

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Q4004325

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

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

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

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Q5429735

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

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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

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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

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Improved rectangular method on stochastic Volterra equations

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

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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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Mathematics Subject Classification ID

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10.1007/S10444-020-09780-4

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Mathematics(1 entry)

mardi Publication:1986535

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