Geodesic
Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy Noise
Filomat, Tome 36 (2022) no. 19, p. 6713

Voir la notice de l'article provenant de la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

DOI

In this paper, the theoretical and numerical analysis of the stochastic Volterra integral equations (SVIEs) driven by Lévy noise are considered. We investigate the existence, uniqueness, boundedness and H ¨ older continuity of the analytic solutions for SVIEs driven by Lévy noise. The Euler-Maruyama method for SVIEs driven by Lévy noise is proposed. The boundedness of the numerical solution is proved, and the strong convergence order is obtained. Some numerical examples are given to support the theoretical results.
DOI : 10.2298/FIL2219713Z
Classification : 65L20, 65C40
Keywords: Stochastic Volterra integral equations, Existence and uniqueness, Hölder continuity, Euler-Maruyama method, Strong convergence 
Wei Zhang; Rui Li. Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy Noise. Filomat, Tome 36 (2022) no. 19, p. 6713 . doi: 10.2298/FIL2219713Z
@article{10_2298_FIL2219713Z,
     author = {Wei Zhang and Rui Li},
     title = {Strong convergence of the {Euler-Maruyama} method for the generalized stochastic {Volterra} integral equations driven by {L\'evy} {Noise}},
     journal = {Filomat},
     pages = {6713 },
     year = {2022},
     volume = {36},
     number = {19},
     doi = {10.2298/FIL2219713Z},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2219713Z/}
}
TY  - JOUR
AU  - Wei Zhang
AU  - Rui Li
TI  - Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy Noise
JO  - Filomat
PY  - 2022
SP  - 6713 
VL  - 36
IS  - 19
UR  - http://geodesic.mathdoc.fr/articles/10.2298/FIL2219713Z/
DO  - 10.2298/FIL2219713Z
LA  - en
ID  - 10_2298_FIL2219713Z
ER  - 
%0 Journal Article
%A Wei Zhang
%A Rui Li
%T Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy Noise
%J Filomat
%D 2022
%P 6713 
%V 36
%N 19
%U http://geodesic.mathdoc.fr/articles/10.2298/FIL2219713Z/
%R 10.2298/FIL2219713Z
%G en
%F 10_2298_FIL2219713Z

Cité par Sources :