Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions

DOI10.1016/J.CAM.2020.113156zbMath1451.60079OpenAlexW3049274426WikidataQ115359724 ScholiaQ115359724MaRDI QIDQ2199795

Huizi Yang, Zichen Yao, Zhanwen Yang

Publication date: 14 September 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.2020.113156

zbMATH Keywords

fractional Brownian motionsVolterra integro-differential equationsstrong convergence orderEuler method with distributions

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (5)

Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion ⋮ Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ A numerical technique for solving nonlinear fractional stochastic integro-differential equations with n-dimensional Wiener process ⋮ Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation

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