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Zhang, Wei

Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients. (English) Zbl 1498.65026

Appl. Numer. Math. 154, 17-35 (2020).
Summary: In this paper, we propose the balanced Euler method of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients. The moment boundedness and strong convergence are shown. Moreover, the theoretical results are illustrated by some numerical examples.

Cited in 2 Documents

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
60H20 Stochastic integral equations
65R20 Numerical methods for integral equations
45R05 Random integral equations
45D05 Volterra integral equations

Keywords:

stochastic Volterra integro-differential equations; non-globally Lipschitz condition; Khasminskii-type condition; balanced Euler method; strong convergence
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References:

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