Approximation schemes for Itô-Volterra stochastic equations

zbMath0849.65102MaRDI QIDQ1908576

Constantin Tudor, Maria Tudor

Publication date: 3 November 1996

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

zbMATH Keywords

multiple stochastic integralsItô stochastic differential equationsstochastic Taylor expansionsItô-Volterra equations

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Probabilistic methods, stochastic differential equations (65C99)

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Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix ⋮ Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions ⋮ Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations ⋮ A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix ⋮ Approximate representations of solutions to SVIEs, and an application to numerical analysis ⋮ One-step approximations for stochastic functional differential equations ⋮ Rough Volterra equations. II: Convolutional generalized integrals ⋮ An analytic approximate method for solving stochastic integrodifferential equations ⋮ A two-parameter Milstein method for stochastic Volterra integral equations ⋮ Stochastic differential equations with imprecisely defined parameters in market analysis ⋮ Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions

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