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Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
Applied Numerical Mathematics ( IF 2.2 ) Pub Date : 2020-08-01 , DOI: 10.1016/j.apnum.2020.03.010 Wei Zhang
Applied Numerical Mathematics ( IF 2.2 ) Pub Date : 2020-08-01 , DOI: 10.1016/j.apnum.2020.03.010 Wei Zhang
Abstract 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.
中文翻译:
一类具有非全局Lipschitz连续系数的随机Volterra积分微分方程的平衡欧拉方法的收敛性
摘要 本文提出一类具有非全局Lipschitz连续系数的随机Volterra积分微分方程的平衡欧拉方法。显示了矩有界性和强收敛性。此外,通过一些数值例子说明了理论结果。
更新日期:2020-08-01
中文翻译:
一类具有非全局Lipschitz连续系数的随机Volterra积分微分方程的平衡欧拉方法的收敛性
摘要 本文提出一类具有非全局Lipschitz连续系数的随机Volterra积分微分方程的平衡欧拉方法。显示了矩有界性和强收敛性。此外,通过一些数值例子说明了理论结果。