Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions

DOI10.1016/J.CAM.2020.113156zbMATH Open1451.60079OpenAlexW3049274426WikidataQ115359724 ScholiaQ115359724MaRDI QIDQ2199795FDOQ2199795

Huizi Yang, Z. W. Yang, Zichen Yao

Publication date: 14 September 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.2020.113156

zbMATH Keywords

fractional Brownian motionsVolterra integro-differential equationsstrong convergence orderEuler method with distributions

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic models in economics (91B70)

Cites Work

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• Stochastic Volterra equations with anticipating coefficients
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• Controllability of nonlinear Itô type stochastic integrodifferential systems
• Semimartingale approximation of fractional Brownian motion and its applications
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
• Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
• Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions

Cited In (5)

• Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
• Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
• A numerical technique for solving nonlinear fractional stochastic integro-differential equations with n-dimensional Wiener process
• Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation

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