Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay

DOI10.1016/j.amc.2018.10.025zbMath1429.65314OpenAlexW2904511372WikidataQ128737612 ScholiaQ128737612MaRDI QIDQ2008834

Shufang Ma, Jianfang Gao, Hui Liang

Publication date: 26 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.10.025

zbMATH Keywords

solvabilitynonlinearconvergence ordersemi-implicit Euler methoddelay stochastic Volterra integral equations

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

Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion ⋮ Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ Splitting extrapolation algorithms for solving linear delay Volterra integral equations with a spatial variable ⋮ Strong Convergence of the Euler-Maruyama Method for Nonlinear Stochastic Volterra Integral Equations with Time-Dependent Delay ⋮ An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations ⋮ Analysis of collocation methods for a class of third-kind auto-convolution Volterra integral equations ⋮ NUMERICAL SOLUTIONS OF NONLINEAR DELAY INTEGRO-DIFFERENTIAL EQUATIONS USING HAAR WAVELET COLLOCATION METHOD ⋮ Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process ⋮ Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ A two-parameter Milstein method for stochastic Volterra integral equations ⋮ Theoretical and numerical analysis of third-kind auto-convolution Volterra integral equations ⋮ Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations ⋮ The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
• A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Current work and open problems in the numerical analysis of Volterra functional equations with vanishing delays
• On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
• An epidemic equation with immigration
• On periodic solutions of a delay integral equation modelling epidemics
• Modified block pulse functions for numerical solution of stochastic Volterra integral equations
• A perspective on the numerical treatment of Volterra equations
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• A stochastic collocation method for stochastic Volterra equations of the second kind
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• Almost sure convergence of solutions of linear stochastic Volterra equations to nonequilibrium limits
• Some equations modelling growth processes and gonorrhea epidemics
• On the numerical stability of Volterra integral equations with delay argument
• Collocation Methods for General Volterra Functional Integral Equations with Vanishing Delays
• Strong order of convergence of a fully discrete approximation of a linear stochastic Volterra type evolution equation
• Iterated Collocation Methods for Volterra Integral Equations with Delay Arguments
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• Volterra integral and differential equations

This page was built for publication: Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay