Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
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Publication:5079569
DOI10.4208/JCM.2101-M2020-0070zbMATH Open1499.65342OpenAlexW4224605635MaRDI QIDQ5079569FDOQ5079569
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
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
Numerical analysis or methods applied to Markov chains (65C40) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Cites Work
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- Collocation Methods for Volterra Integral and Related Functional Differential Equations
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- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Stability of stochastic integro differiential equations
- Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
- Mean square stability of stochastic Volterra integro-differential equations
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- A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
- Numerical solution of nonlinear stochastic integral equation by stochastic operational matrix based on Bernstein polynomials
- Stability of the split-step backward Euler scheme for stochastic delay integro-differential equations with Markovian switching
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- Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
- Strong convergence of the semi-implicit Euler method for a kind of stochastic Volterra integro-differential equations
- A discrete stochastic Gronwall lemma
- Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
- Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
- Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
Cited In (12)
- 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
- Strong convergence of the Euler-Maruyama method for nonlinear stochastic Volterra integral equations with time-dependent delay
- Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
- 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
- Triangular function method is adopted to solve nonlinear stochastic Itô-Volterra integral equations
- 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 superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
- A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
- Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
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