A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations

DOI10.1002/mma.8153zbMath1527.65007OpenAlexW4212910672MaRDI QIDQ6067274

Minghua Chen, Xinjie Dai, Can Wang, Weihua Deng, Weiping Bu

Publication date: 16 November 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.8153

zbMATH Keywords

convergence ratestochastic Volterra integral equationsnon-Lipschitz conditionEuler-Maruyama methodfractional substantial derivative

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) 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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