Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations

DOI10.1016/j.cam.2016.11.005zbMath1357.65011OpenAlexW2560277216MaRDI QIDQ508020

Zhanwen Yang, Jianfang Gao, Hui Liang

Publication date: 9 February 2017

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.2016.11.005

zbMATH Keywords

numerical examplestrong convergenceconvolution kernelEuler-Maruyama methodlinear stochastic Volterra integral equationsstrong superconvergence

Mathematics Subject Classification ID

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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