Theoretical and numerical analysis of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/J.APNUM.2019.08.018zbMath1448.65012OpenAlexW2971094693MaRDI QIDQ2010247

Wei Zhang

Publication date: 27 November 2019

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.08.018

zbMATH Keywords

strong convergenceLipschitz conditionstochastic Volterra integro-differential equationsKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05)

Related Items (4)

Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion ⋮ Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients ⋮ 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 ⋮ A two-parameter Milstein method for stochastic Volterra integral equations

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