Approximate representations of solutions to SVIEs, and an application to numerical analysis

DOI10.1016/J.JMAA.2016.12.031MaRDI QIDQ504880zbMATH OpenOpenAlexFDO

Authors Yanqing Wang

Publication date 17 January 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2016.12.031

zbMATH Keywords

convergencealgorithmapproximate representationsplitting methodstochastic theta methodstochastic Volterra integral equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cited in

(3)

• A two-parameter Milstein method for stochastic Volterra integral equations
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
• Numerical methods for stochastic Volterra integral equations with weakly singular kernels

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