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

DOI10.1016/J.CAM.2020.113156MaRDI QIDQ2199795zbMATH OpenOpenAlexWikidataFDO

Authors Huizi Yang, Zichen Yao, Z. W. Yang

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)

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Cites work

• scientific article; zbMATH DE number 3690402 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
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• Complete controllability of impulsive stochastic integro-differential systems
• Controllability of nonlinear Itô type stochastic integrodifferential systems
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
• Fractional Brownian Motions, Fractional Noises and Applications
• Mean square stability of stochastic Volterra integro-differential equations
• Semimartingale approximation of fractional Brownian motion and its applications
• Stability of Solutions for Stochastic Impulsive Systems via Comparison Approach
• Stability of stochastic integro differiential equations
• Stochastic Volterra equations with anticipating coefficients
• 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
• The numerical approximation of stochastic partial differential equations
• Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
• Volterra equations driven by semimartingales

Cited in

(5)

• A numerical technique for solving nonlinear fractional stochastic integro-differential equations with \(n\)-dimensional Wiener process
• 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
• 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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