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

DOI10.1016/J.AMC.2019.03.053zbMATH Open1429.65022OpenAlexW2945744149MaRDI QIDQ2279451FDOQ2279451

Shufang Ma, Huizi Yang, 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)

Cites Work

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• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• The Numerical Solution of Integral Equations of the Second Kind
• Stability of stochastic integro differiential equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Mean square stability of stochastic Volterra integro-differential equations
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• Complete controllability of impulsive stochastic integro-differential systems
• Order of Convergence of One-Step Methods for Volterra Integral Equations of the Second Kind
• Controllability of nonlinear Itô type stochastic integrodifferential systems
• Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
• A survey of recent advances in the numerical treatment of Volterra integral and integro-differential equations
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

Cited In (6)

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

Uses Software

• RODAS

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