Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations (Q2332678)

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English	Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations	scientific article

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scholarly article

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title

Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations (English)

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Journal of Computational and Applied Mathematics

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publication date

5 November 2019

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zbMATH Keywords

stochastic Volterra integro-differential equations

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existence and uniqueness

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Hölder continuity

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Euler-Maruyama method

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strong convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2019.112364

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cites work

Fixed point theorems for cyclic operators with application in fractional integral inclusions with delays

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Fixed Point Results and its Applications to the Systems of Non-linear Integral and Differential Equations of Arbitrary Order

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Solutions for a class of nonlinear Volterra integral and integro-differential equation using cyclic \((\varphi,\psi,\theta)\)-contraction

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Stability of numerical methods for Volterra integro-differential equations

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Stochastic ordinary differential equations in applied and computational mathematics

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Convergence of numerical methods for stochastic differential equations in mathematical finance

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Q5429735

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Q3085559

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Almost Sure Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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Stability of stochastic integro differiential equations

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Mean square stability of stochastic Volterra integro-differential equations

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Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay

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Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

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Q3071299

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Stability of stochastic<i>θ</i>-methods for stochastic delay integro-differential equations

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The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations

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Strong Convergence of the Semi-Implicit Euler Method for a Kind of Stochastic Volterra Integro-Differential Equations

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Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

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Convergence and stability of balanced methods for stochastic delay integro-differential equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Identifiers

DOI

10.1016/j.cam.2019.112364

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:2332678