Numerical methods for stochastic Volterra integral equations with weakly singular kernels
From MaRDI portal
Publication:5093121
DOI10.1093/IMANUM/DRAB047OpenAlexW3176528034MaRDI QIDQ5093121
Min Li, Yaozhong Hu, Cheng-Ming Huang
Publication date: 26 July 2022
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.04916
strong convergence rateMilstein-type scheme\(\Theta\)-Euler-Maruyama schemestochastic Volterra integral equations with weakly singular kernel
Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05)
Related Items (10)
On the Discrete-Time Simulation of the Rough Heston Model ⋮ A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method ⋮ Error distribution of the Euler approximation scheme for stochastic Volterra equations ⋮ Weakly singular Volterra integral equation with combined logarithmic-power-law kernel: analytical and computational consideration ⋮ Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel ⋮ Some types of Carathéodory scheme for Caputo stochastic fractional differential equations in \(L^p\) spaces ⋮ Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis
This page was built for publication: Numerical methods for stochastic Volterra integral equations with weakly singular kernels
