A two-parameter Milstein method for stochastic Volterra integral equations
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This paper develops a two-parameter Milstein method for one-dimensional stochastic Volterra integral equations, which can incorporate memory terms. The method is shown to have strong order one in the \(L_p\) norm. The mean square stability, when applied to a scalar, linear, stochastic convolution test equation, is studied. Results show that implicitness offers benefits for numerical stability. Simple numerical tests confirm theoretical results.
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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
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- A long-term analysis of two types of compensated theta methods for jump-Pearson diffusions
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