A two-parameter Milstein method for stochastic Volterra integral equations

DOI10.1016/J.CAM.2021.113870MaRDI QIDQ2059626zbMATH OpenOpenAlexFDO

Authors Min Li, Jiao Wen, Chengming Huang

Publication date 14 December 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113870

zbMATH Keywords

Milstein methodorder of convergencestability analysisstochastic Volterra integral equations

Mathematics Subject Classification ID

Random integral equations (45R05) Stochastic integral equations (60H20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20)

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Cited in

(9)

• On the stability of -methods for stochastic Volterra integral equations
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
• Deterministic implicit two-step Milstein methods for stochastic differential equations
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• Triangular function method is adopted to solve nonlinear stochastic Itô-Volterra integral equations
• Well-posedness, regularity of solutions and the -Euler-Maruyama scheme for stochastic Volterra integral equations with general singular kernels and jumps
• Split-step integrator for generalized stochastic Volterra integro-differential equations
• A long-term analysis of two types of compensated theta methods for jump-Pearson diffusions

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