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Approximate representations of solutions to SVIEs, and an application to numerical analysis.
- Source :
-
Journal of Mathematical Analysis & Applications . May2017, Vol. 449 Issue 1, p642-659. 18p. - Publication Year :
- 2017
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0022247X
- Volume :
- 449
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of Mathematical Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 120673142
- Full Text :
- https://doi.org/10.1016/j.jmaa.2016.12.031