Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with m-dimensional Brownian motion
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\(m\)-dimensional Brownian motion processhat basis functionsItô integralPicard iteration methodstochastic Volterra integral equations
Volterra integral equations (45D05) Random integral equations (45R05) Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20)
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Cites work
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Cited in
(17)- Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
- Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
- An interpolation-based method for solving Volterra integral equations
- Quintic B-spline collocation method to solve n-dimensional stochastic Itô-Volterra integral equations
- Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations
- An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
- Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
- Convergence analysis of an iterative algorithm to solve system of nonlinear stochastic Itô‐Volterra integral equations
- Hybrid collocation method for some classes of second-kind nonlinear weakly singular integral equations
- Numerical solution of Itô-Volterra integral equations by the QR factorization method
- Piecewise barycentric interpolating functions for the numerical solution of Volterra integro‐differential equations
- Least square method based on Haar wavelet to solve multi-dimensional stochastic Itô-Volterra integral equations
- Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
- Application of fixed point theorem on the study of the existence of solutions in some fractional stochastic functional integral equations
- Quasilinearization-based Legendre collocation method for solving a class of functional Volterra integral equations
- A new numerical algorithm based on least squares method for solving stochastic Itô-Volterra integral equations
- Convergence analysis of an iterative scheme to solve a family of functional Volterra integral equations
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