Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion

DOI10.4208/aamm.OA-2020-0384zbMath1499.65024WikidataQ114021262 ScholiaQ114021262MaRDI QIDQ5032347

Mengjie Wang, Xinjie Dai, Ai-Guo Xiao

Publication date: 16 February 2022

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

zbMATH Keywords

strong convergencewell-posednessstochastic Volterra integro-differential equationsRiemann-Liouville fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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) Random integral equations (45R05)

Related Items

The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations ⋮ Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis

Uses Software

• longmemo

Cites Work

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