Improved rectangular method on stochastic Volterra equations

DOI10.1016/j.cam.2010.11.002zbMath1221.65023MaRDI QIDQ629516

Juan-Miguel Gracia

Publication date: 9 March 2011

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.2010.11.002

zbMATH Keywords

numerical schemes; stochastic Volterra equations; Itô-Taylor expansion; rectangular methods

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60H20: Stochastic integral equations

37M99: Approximation methods and numerical treatment of dynamical systems