Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
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Cites work
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- scientific article; zbMATH DE number 1552295 (Why is no real title available?)
- scientific article; zbMATH DE number 7696368 (Why is no real title available?)
- A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
- A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
- A numerical method for solving m-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
- A stochastic collocation method for stochastic Volterra equations of the second kind
- A survey of numerical methods for stochastic differential equations
- A survey of recent advances in the numerical treatment of Volterra integral and integro-differential equations
- A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
- Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation
- An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Collocation Methods for Volterra Integral and Related Functional Differential Equations
- Continuous Markov processes and stochastic equations
- Delay-dependent stability analysis of numerical methods for stochastic delay differential equations
- Euler schemes and large deviations for stochastic Volterra equations with singular kernels
- Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations
- Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
- Exponential stability of the exact and numerical solutions for neutral stochastic delay differential equations
- Introduction to real analysis
- Modified block pulse functions for numerical solution of stochastic Volterra integral equations
- On exponential mean-square stability of two-step Maruyama methods for stochastic delay differential equations
- On solutions of a stochastic integral equation of the volterra type with applications for chemotherapy
- On the existence and uniqueness of solutions of stochastic integral equations of the Volterra type
- Order of Convergence of One-Step Methods for Volterra Integral Equations of the Second Kind
- Random integral equations with applications to life sciences and engineering
- Real Interpolation of Sobolev Spaces on Subdomains of Rn
- Stochastic Volterra equations with singular kernels
- Strong order of convergence of a fully discrete approximation of a linear stochastic Volterra type evolution equation
- The Numerical Solution of Fredholm integral Equations of the Second Kind
Cited in
(31)- Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
- Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
- Strong convergence of the Euler-Maruyama method for nonlinear stochastic convolution Itô-Volterra integral equations with constant delay
- Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
- Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
- Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
- Analysis of continuous collocation solutions for nonlinear functional equations with vanishing delays
- 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
- A fast algorithm for simulation of rough volatility models
- Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay
- Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
- Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
- Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
- Stability of the analytic solution and the partially truncated Euler–Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
- Analysis and numerical approximation for a nonlinear hidden-memory variable-order fractional stochastic differential equation
- An explicit Euler scheme for generalized \(n\)-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
- A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations
- Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions
- Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
- 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
- Simplified reproducing kernel method and convergence order for linear Volterra integral equations with variable coefficients
- Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
- Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
- Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
- Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis
- Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
- Impulsive stochastic Volterra integral equations driven by Lévy noise
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
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