STRONG CONVERGENCE OF THE EULER-MARUYAMA METHOD FOR NONLINEAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH TIME-DEPENDENT DELAY*

被引：2

作者：

Qi, Siyuan ^{[1
]}

Lan, Guangqiang ^{[1
]}

机构：

[1] Beijing Univ Chem Technol, Coll Math & Phys, Beijing 100029, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL MATHEMATICS | 2022年 / 40卷 / 03期

关键词：

Stochastic Volterra integral equation; Euler-Maruyama method; Strong con-vergence; Time-dependent delay;

D O I：

10.4208/jcm.2010-m2020-0129

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a nonlinear stochastic Volterra integral equation with time-dependent delay and the corresponding Euler-Maruyama method in this paper. Strong convergence rate (at fixed point) of the corresponding Euler-Maruyama method is obtained when coefficients f and g both satisfy local Lipschitz and linear growth conditions. An example is provided to interpret our conclusions. Our result generalizes and improves the conclusion in [J. Gao, H. Liang, S. Ma, Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay, Appl. Math. Comput., 348(2019)385-398.]

引用

页码：439 / 454

页数：16

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