Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
DOI10.1016/J.APNUM.2019.08.018zbMATH Open1448.65012OpenAlexW2971094693MaRDI QIDQ2010247FDOQ2010247
Authors: Wei Zhang 
Publication date: 27 November 2019
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2019.08.018
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strong convergenceLipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama methodstochastic Volterra integro-differential equations
Volterra integral equations (45D05) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
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Cited In (4)
- Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
- Stability of the analytic solution and the partially truncated Euler–Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
- Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
- A two-parameter Milstein method for stochastic Volterra integral equations
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