Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations

DOI10.4208/JCM.2101-M2020-0070MaRDI QIDQ5079569zbMATH OpenOpenAlexFDO

Authors Wei Zhang

Publication date 27 May 2022

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jcm.2101-m2020-0070

zbMATH Keywords

strong convergencestochastic Volterra integral equationsLipschitz conditionEuler-Maruyama method

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Recommendations

• Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic convolution Itô-Volterra integral equations with constant delay
• Strong convergence of the semi-implicit Euler method for a kind of stochastic Volterra integro-differential equations
• Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
• Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations

Cites work

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• A discrete stochastic Gronwall lemma
• A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean square stability of stochastic Volterra integro-differential equations
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
• Numerical solution of nonlinear stochastic integral equation by stochastic operational matrix based on Bernstein polynomials
• Stability of stochastic integro differiential equations
• Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
• Strong convergence of the semi-implicit Euler method for a kind of stochastic Volterra integro-differential equations
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations

Cited in

(12)

• Strong convergence of the semi-implicit Euler method for a kind of stochastic Volterra integro-differential equations
• Triangular function method is adopted to solve nonlinear stochastic Itô-Volterra integral equations
• Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
• Strong convergence of the truncated Euler–Maruyama method for stochastic functional differential equations
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
• Strong convergence of the Euler-Maruyama method for nonlinear stochastic convolution Itô-Volterra integral equations with constant delay
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
• Numerical methods for stochastic Volterra integral equations with weakly singular kernels
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions

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