Geodesic
Strong super convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients
Filomat, Tome 35 (2021) no. 9, p. 2997

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DOI

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 is studied and the strong convergence is shown to be 1. Moreover, the theoretical results are illustrated by a numerical example
DOI : 10.2298/FIL2109997Z
Classification : 65L20, 65C40
Keywords: Stochastic Volterra integro-differential equationsNon-globally Lipschitz conditionKhasminskii-type conditionBalanced Euler method Strong convergence 
Wei Zhang. Strong super convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients. Filomat, Tome 35 (2021) no. 9, p. 2997 . doi: 10.2298/FIL2109997Z
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     author = {Wei Zhang},
     title = {Strong super convergence of the balanced {Euler} method for a class of stochastic {Volterra} integro-differential equations with non-globally {Lipschitz} continuous coefficients},
     journal = {Filomat},
     pages = {2997 },
     year = {2021},
     volume = {35},
     number = {9},
     doi = {10.2298/FIL2109997Z},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2109997Z/}
}
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