A two-parameter Milstein method for stochastic Volterra integral equations
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Publication:2059626
DOI10.1016/j.cam.2021.113870zbMath1489.65173OpenAlexW3208726363MaRDI QIDQ2059626
Min Li, Jiao Wen, Cheng-Ming Huang
Publication date: 14 December 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113870
Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)
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Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent, Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
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