STRONG CONVERGENCE OF THE EULER-MARUYAMA METHOD FOR A CLASS OF STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

作     者：Wei Zhang Wei Zhang

作者机构：School of Mathematical SciencesHeilongjiang UniversityHarbin 150080China 

出 版 物：《Journal of Computational Mathematics》 (计算数学（英文）)

年 卷 期：2022年第40卷第4期

页      面：607-623页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：supported by the Heilongjiang Provincial Key Laboratory of the Theory and Computation of Complex Systems and Basic Scientific Research in Colleges and Universities of Heilongjiang Province(SFP of Heilongjiang University No.KJCX201924) 

主　　题：Strong convergence Stochastic Volterra integral equations Euler-Maruyama method Lipschitz condition 

摘      要：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 EulerMaruyama method is ***,the strong superconvergence order 1 can be obtained for a class of SVIEs if the kernelsσi(t,t)=0 for i=1 and 2;otherwise,the strong convergence order is ***,the theoretical results are illustrated by some numerical examples.