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

DOI10.1007/S11009-019-09702-YzbMATH Open1439.65228OpenAlexW2920648707MaRDI QIDQ2176392FDOQ2176392

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

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

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)

Cites Work

• Stochastic delay Lotka--Volterra model
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Recent advances in the numerical analysis of Volterra functional differential equations with variable delays
• A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
• On stability of Runge-Kutta methods for delay integral equations
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• A computational method for solving nonlinear stochastic Volterra integral equations
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• Stochastic Volterra equations with anticipating coefficients
• Title not available (Why is that?)
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Continuous Markov processes and stochastic equations
• Collocation and continuous implicit Runge-Kutta methods for a class of delay Volterra integral equations
• Iterated Collocation Methods for Volterra Integral Equations with Delay Arguments
• A Taylor collocation method for solving delay integral equations
• On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• On the numerical stability of Volterra integral equations with delay argument
• Improved rectangular method on stochastic Volterra 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)