A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations (Q6067274)

scientific article; zbMATH DE number 7766889

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English	A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations	scientific article; zbMATH DE number 7766889

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instance of

scholarly article

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title

A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations (English)

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Mathematical Methods in the Applied Sciences

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publication date

16 November 2023

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zbMATH Keywords

convergence rate

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Euler-Maruyama method

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fractional substantial derivative

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non-Lipschitz condition

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stochastic Volterra integral equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/mma.8153

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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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Numerical schemes for a class of tempered fractional integro-differential equations

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Q4526161

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On the existence of solutions of fractional integro-differential 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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Financial Modelling with Jump Processes

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On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type

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Stochastic Volterra equations with singular kernels

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Brownian Motion, Martingales, and Stochastic Calculus

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Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion

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Stochastic fractional perturbed control systems with fractional Brownian motion and Sobolev stochastic non local conditions

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Fractional stochastic differential equations with applications to finance

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Q5429735

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Random integral equations with applications to life sciences and engineering

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On solutions of a stochastic integral equation of the volterra type with applications for chemotherapy

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Stochastic fractional differential equations: modeling, method and analysis

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High order algorithm for the time-tempered fractional Feynman-Kac equation

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Discretized fractional substantial calculus

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Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order

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Numerical solution of Itô-Volterra integral equation by least squares method

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

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Approximate solution of stochastic Volterra integro-differential equations by using moving least squares scheme and spectral collocation method

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Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations

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Application of hat basis functions for solving two-dimensional stochastic fractional integral equations

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Wavelets method 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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On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations

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Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations

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An efficient cubic B‐spline and bicubic B‐spline collocation method for numerical solutions of multidimensional nonlinear stochastic quadratic integral equations

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Discrete-time simulation of stochastic Volterra equations

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Numerical methods for stochastic Volterra integral equations with weakly singular kernels

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Numerical solution of two-dimensional weakly singular stochastic integral equations on non-rectangular domains via radial basis functions

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

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Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential 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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On the successive approximation of solutions of stochastic differential equations

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Carathéodory approximations and stability of solutions to non-Lipschitz stochastic fractional differential equations of Itô-Doob type

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Q5166655

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Stochastic Equations in Infinite Dimensions

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Identifiers

zbMATH Open document ID

1527.65007

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DOI

10.1002/mma.8153

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6067274