Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations

DOI10.1016/j.cam.2019.02.002zbMath1503.65012OpenAlexW2916906663WikidataQ128336440 ScholiaQ128336440MaRDI QIDQ2423690

Xinjie Dai, Weiping Bu, Ai-Guo Xiao

Publication date: 20 June 2019

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.2019.02.002

zbMATH Keywords

well-posednessfractional calculusstochastic Volterra integral equationsnon-Lipschitz conditionEuler-Maruyama approximationsharp convergence

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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