A two-parameter Milstein method for stochastic Volterra integral equations (Q2059626)
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| Language | Label | Description | Also known as |
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| English | A two-parameter Milstein method for stochastic Volterra integral equations |
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A two-parameter Milstein method for stochastic Volterra integral equations (English)
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14 December 2021
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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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Milstein method
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stochastic Volterra integral equations
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order of convergence
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stability analysis
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