Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
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Publication:2196048
DOI10.1016/j.cam.2020.113077zbMath1451.65009OpenAlexW3038051231MaRDI QIDQ2196048
Min Li, Peng Hu, Jiao Wen, Cheng-Ming Huang
Publication date: 28 August 2020
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.2020.113077
convergence analysismean-square stabilitysplit-step theta methodstochastic Volterra integral equationroot locus method
Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05)
Related Items (8)
Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion ⋮ Strong Convergence of the Euler-Maruyama Method for Nonlinear Stochastic Volterra Integral Equations with Time-Dependent Delay ⋮ Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations ⋮ Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method ⋮ Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ A two-parameter Milstein method for stochastic Volterra integral equations ⋮ Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
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