Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/J.APNUM.2020.03.010MaRDI QIDQ2174958zbMATH OpenOpenAlexFDO

Authors Wei Zhang

Publication date 27 April 2020

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2020.03.010

zbMATH Keywords

balanced Euler methodKhasminskii-type conditionnon-globally Lipschitz conditionstochastic Volterra integro-differential equationsstrong convergence

Mathematics Subject Classification ID

Volterra integral equations (45D05) Random integral equations (45R05) Stochastic integral equations (60H20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20)

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Cites work

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• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• 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 truncated Euler-Maruyama method for stochastic differential equations
• Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations

Cited in

(8)

• Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Optimal Convergence Rate of \theta--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
• Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
• 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
• Split-step integrator for generalized stochastic Volterra integro-differential equations

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