Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations

DOI10.4208/jcm.2101-m2020-0070zbMath1499.65342OpenAlexW4224605635MaRDI QIDQ5079569

Wei Zhang

Publication date: 27 May 2022

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jcm.2101-m2020-0070

zbMATH Keywords

strong convergenceLipschitz conditionstochastic Volterra integral equationsEuler-Maruyama method

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• A discrete stochastic Gronwall lemma
• Mean-square stability and convergence of a split-step theta method for stochastic Volterra integral equations
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• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations
• Mean square stability of stochastic Volterra integro-differential equations
• Stability of stochastic integro differiential equations
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• Strong Convergence of the Semi-Implicit Euler Method for a Kind of Stochastic Volterra Integro-Differential Equations

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