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

DOI10.3934/dcdsb.2018087zbMath1398.65348OpenAlexW2792699069MaRDI QIDQ1670357

Raffaele D'Ambrosio, Dajana Conte, Beatrice Paternoster

Publication date: 5 September 2018

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2018087

zbMATH Keywords

stability analysisstochastic Volterra integral equationsEuler-Maruyama methodMilstein methodrectangular method

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05)

Related Items (21)

Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods ⋮ A spectral collocation method for stochastic Volterra integro-differential equations and its error analysis ⋮ A spectral method for stochastic fractional differential equations ⋮ Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations ⋮ A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations ⋮ Jacobian-dependent vs Jacobian-free discretizations for nonlinear differential problems ⋮ Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ Improved \(\vartheta\)-methods for stochastic Volterra integral equations ⋮ On the numerical structure preservation of nonlinear damped stochastic oscillators ⋮ Perturbative analysis of stochastic Hamiltonian problems under time discretizations ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Optimal control of system governed by nonlinear Volterra integral and fractional derivative equations ⋮ Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators ⋮ Stability issues for selected stochastic evolutionary problems: a review ⋮ A two-parameter Milstein method for stochastic Volterra integral equations

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