Strong convergence of the Euler-Maruyama method for nonlinear stochastic convolution Itô-Volterra integral equations with constant delay

DOI10.1007/S11009-019-09702-YMaRDI QIDQ2176392zbMATH OpenOpenAlexFDO

Authors Shufang Ma, Jianfang Gao, Z. W. Yang

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09702-y

zbMATH Keywords

Euler-Maruyama methodconstant delaystrong superconvergence orderstochastic Itô-Volterra integral equations

Mathematics Subject Classification ID

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

Recommendations

• Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation

Cites work

• scientific article; zbMATH DE number 3707527 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 1552295 (Why is no real title available?)
• A Taylor collocation method for solving delay integral equations
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• A computational method for solving nonlinear stochastic Volterra integral equations
• A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• Collocation and continuous implicit Runge-Kutta methods for a class of delay Volterra integral equations
• Continuous Markov processes and stochastic equations
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Improved rectangular method on stochastic Volterra equations
• Iterated Collocation Methods for Volterra Integral Equations with Delay Arguments
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• On stability of Runge-Kutta methods for delay integral equations
• On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
• On the numerical stability of Volterra integral equations with delay argument
• Recent advances in the numerical analysis of Volterra functional differential equations with variable delays
• Stochastic Volterra equations with anticipating coefficients
• Stochastic delay Lotka--Volterra model
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

Cited in

(6)

• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
• Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
• Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2176392)