Improved θ-methods for stochastic Volterra integral equations

被引：15
作者：
Conte, Dajana [1 ]
D'Ambrosio, Raffaele [2 ]
Paternoster, Beatrice [1 ]
机构：
[1] Univ Salerno, Dept Math, Salerno, Italy
[2] Univ Aquila, DISIM, Laquila, Italy
来源：
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION | 2021年 / 93卷
关键词：
Stochastic Volterra integral equations; theta-method; Mean-square stability; Convolution test problem; MEAN-SQUARE; COMPUTATIONAL METHOD; COLLOCATION METHODS; STABILITY; SIMULATION; SCHEMES; 2-STEP;
D O I：
10.1016/j.cnsns.2020.105528
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The paper introduces improved stochastic theta-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. (C) 2020 Elsevier B.V. All rights reserved.
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页数：11
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