Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis

DOI10.1007/s40314-023-02248-3OpenAlexW4323545282MaRDI QIDQ2695670

Mengjie Wang, Xinjie Dai, Yanyan Yu, Ai-Guo Xiao

Publication date: 31 March 2023

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-023-02248-3

zbMATH Keywords

strong convergencemean-square stabilitylocal Lipschitz conditionconvolution kernelstochastic Volterra integral equationfast \(\theta\)-Maruyama method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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