Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions

DOI10.1016/J.AMC.2019.03.053MaRDI QIDQ2279451zbMATHOpenAlexFDO

Authors Huizi Yang, Shufang Ma, Z. W. Yang

Publication date 12 December 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2019.03.053

zbMATH Keywords

boundednesssemi-implicit Euler methodstrong convergence orderHölder conditionVolterra integro-differential equations with Itô integral

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic models in economics (91B70) Theoretical approximation of solutions to functional-differential equations (34K07) Stochastic integral equations (60H20)

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Cited in

(7)

• Numerical analysis of the linearly implicit Euler method with truncated Wiener process for the stochastic SIR model
• A two-parameter Milstein method for stochastic Volterra integral equations
• Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
• Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
• Numerical analysis of a linearly backward Euler method with truncated Wiener process for a stochastic SIS model
• Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions

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