Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
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Publication:508020
DOI10.1016/J.CAM.2016.11.005zbMATH Open1357.65011OpenAlexW2560277216MaRDI QIDQ508020FDOQ508020
Authors: H. Liang, Z. W. Yang, Jianfang Gao 
Publication date: 9 February 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.005
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numerical examplestrong convergenceconvolution kernelEuler-Maruyama methodlinear stochastic Volterra integral equationsstrong superconvergence
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
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Cited In (31)
- 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
- Strong convergence of the semi-implicit Euler method for a kind of stochastic Volterra integro-differential equations
- Analysis of continuous collocation solutions for nonlinear functional equations with vanishing delays
- 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
- 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
- Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
- 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
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- 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
- Simplified reproducing kernel method and convergence order for linear Volterra integral equations with variable coefficients
- 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
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- Impulsive stochastic Volterra integral equations driven by Lévy noise
- A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
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