Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/J.APNUM.2019.08.018MaRDI QIDQ2010247zbMATHOpenAlexFDO

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

zbMATH Keywords

strong convergenceLipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama methodstochastic Volterra integro-differential equations

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5846427 (Why is no real title available?)
• scientific article; zbMATH DE number 5167015 (Why is no real title available?)
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
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• Improved rectangular method on stochastic Volterra equations
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• Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
• The truncated Euler-Maruyama method for stochastic differential equations

Cited in

(4)

• A two-parameter Milstein method for stochastic Volterra integral equations
• 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

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