Improved rectangular method on stochastic Volterra equations
Approximation methods and numerical treatment of dynamical systems (37M99) Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)
The authors present an improved version of their rectangular method for approximating the solution of the Itô stochastic Volterra integral equation \[ X_t= x+\int^t_0 a(t, X_s)\,ds+ \int^t_0 b(t, X_s)\,dW_s, \] where \(W_t\) is a standard Brownian motion. It is proved that the approximate solutions converge with order \(h\) to the exact solution. Then a modification of the method to facilitate greater ease of computation is introduced and shown to retain the order \(h\) convergence. Numerical results for a simple example are discussed.
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