Approximate representations of solutions to SVIEs, and an application to numerical analysis

作者：Wang, Yanqing^*

来源：Journal of Mathematical Analysis and Applications, 2017, 449(1): 642-659.

DOI：10.1016/j.jmaa.2016.12.031

• Stochastic Volterra integral equation
• Approximate representation
• Stochastic theta method
• Splitting method
• Convergence rate

In this paper, we establish approximate representations of solutions to stochastic Volterra integral equations (SVIEs, for short), by virtue of solutions to a family of stochastic differential equations. As an application, we present two algorithms for solving SVIEs: stochastic theta method and splitting method, and prove the global 1/2 order convergence rates in L-2 norm.

• 出版日期2017-5-1
• 单位西南大学