Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation

DOI10.1016/j.cam.2020.113071zbMath1452.65018OpenAlexW3036483173MaRDI QIDQ2196039

Almushaira Mustafa, Mahmoud Abouagwa, Anas Dheyab Khalaf, Xiang Jun Wang

Publication date: 28 August 2020

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.2020.113071

zbMATH Keywords

Lévy processPoisson random measurestochastic Volterra integral equationsstochastic differential equations with jumpsEuler-Maruyama methodstrong superconvergence

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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