Improved rectangular method on stochastic Volterra equations

DOI10.1016/j.cam.2010.11.002zbMath1221.65023OpenAlexW2059350929MaRDI QIDQ629516

Juan-Miguel Gracia

Publication date: 9 March 2011

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.2010.11.002

zbMATH Keywords

numerical schemesstochastic Volterra equationsItô-Taylor expansionrectangular methods

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Approximation methods and numerical treatment of dynamical systems (37M99)

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Cites Work

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• On stochastic fractional Volterra equations in Hilbert space
• A perspective on the numerical treatment of Volterra equations
• Almost sure convergence of solutions of linear stochastic Volterra equations to nonequilibrium limits
• Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations
• Stochastic Volterra equations with anticipating coefficients
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Volterra integral and differential equations

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