Approximation schemes for Itô-Volterra stochastic equations

zbMATH Open0849.65102MaRDI QIDQ1908576FDOQ1908576

Authors: Constantin Tudor, Maria Tudor 

Publication date: 3 November 1996

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

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zbMATH Keywords

multiple stochastic integralsstochastic Taylor expansionsItô stochastic differential equationsItô-Volterra equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic integral equations (60H20)

Cited In (21)

• Discrete-time simulation of stochastic Volterra equations
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
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• Stochastic differential equations with imprecisely defined parameters in market analysis
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• Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix
• One-step approximations for stochastic functional differential equations
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• Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme
• An analytic approximate method for solving stochastic integrodifferential equations
• Improved rectangular method on stochastic Volterra equations
• A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• A two-parameter Milstein method for stochastic Volterra integral equations
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
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• Convex ordering for stochastic Volterra equations and their Euler schemes
• Approximate representations of solutions to SVIEs, and an application to numerical analysis
• Rough Volterra equations. II: Convolutional generalized integrals
• A systematic elimination procedure for Ito stochastic differential equations and the adiabatic approximation

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