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

DOI10.1016/j.jmaa.2016.12.031zbMath1356.65023OpenAlexW2562572396MaRDI QIDQ504880

Yan Qing 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

algorithmconvergencesplitting methodapproximate representationstochastic 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) Stochastic integral equations (60H20) Random integral equations (45R05)

Related Items (2)

Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations ⋮ A two-parameter Milstein method for stochastic Volterra integral equations

Cites Work

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• Linear quadratic stochastic integral games and related topics
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• Volterra equations driven by semimartingales
• On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
• Approximation schemes for Itô-Volterra stochastic equations
• Stochastic Volterra equations with anticipating coefficients
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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