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Improved ϑ-methods for stochastic Volterra integral equations
Communications in Nonlinear Science and Numerical Simulation ( IF 3.9 ) Pub Date : 2020-09-09 , DOI: 10.1016/j.cnsns.2020.105528
Dajana Conte , Raffaele D’Ambrosio , Beatrice Paternoster

The paper introduces improved stochastic ϑ-methods for the numerical integration of stochastic Volterra integral equations. Such methods, compared to those introduced by the authors in Conte et al. (2018)[14], have better stability properties. This is here made possible by inheriting the stability properties of the corresponding methods for systems of stochastic differential equations. Such a superiority is confirmed by a comparison of the stability regions.



中文翻译:

随机Volterra积分方程的改进ϑ方法。

本文介绍了用于随机Volterra积分方程的数值积分的改进的随机ϑ方法。与作者在Conte等人中介绍的方法相比。(2018)[14],具有更好的稳定性能。在此,通过继承随机微分方程系统的相应方法的稳定性,可以做到这一点。通过比较稳定性区域来确认这种优越性。

更新日期:2020-09-26
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