Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations
Year: 2022
Author: Wei Zhang
Journal of Computational Mathematics, Vol. 40 (2022), Iss. 4 : pp. 607–623
Abstract
In this paper, we consider the Euler-Maruyama method for a class of stochastic Volterra integral equations (SVIEs). It is known that the strong convergence order of the Euler-Maruyama method is 12. However, the strong superconvergence order 1 can be obtained for a class of SVIEs if the kernels σi(t,t)=0 for i=1 and 2; otherwise, the strong convergence order is 12. Moreover, the theoretical results are illustrated by some numerical examples.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2101-m2020-0070
Journal of Computational Mathematics, Vol. 40 (2022), Iss. 4 : pp. 607–623
Published online: 2022-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Strong convergence Stochastic Volterra integral equations Euler-Maruyama method Lipschitz condition.
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