Approximation schemes for Itô-Volterra stochastic equations

MaRDI QIDQ1908576zbMATH OpenFDO

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)

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)

Recommendations

• Approximation Schemes for Stochastic Differential Equations in Hilbert Space
• Discrete approximation of stochastic differential equations
• scientific article; zbMATH DE number 89739
• scientific article; zbMATH DE number 970657

Cited in

(21)

• Discrete-time simulation of stochastic Volterra equations
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
• scientific article; zbMATH DE number 89739 (Why is no real title available?)
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Stochastic differential equations with imprecisely defined parameters in market analysis
• Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix
• scientific article; zbMATH DE number 89809 (Why is no real title available?)
• One-step approximations for stochastic functional differential equations
• scientific article; zbMATH DE number 926987 (Why is no real title available?)
• 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
• A numerical method for solving m-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Improved rectangular method on stochastic Volterra equations
• 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
• scientific article; zbMATH DE number 942486 (Why is no real title available?)
• 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

This page was built for publication: Approximation schemes for Itô-Volterra stochastic equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1908576)