Improved rectangular method on stochastic Volterra equations

C. H. Wen; T. S. Zhang

doi:10.1016/j.cam.2010.11.002

Improved rectangular method on stochastic Volterra equations

C. H. Wen, T. S. Zhang

Department of Financial and Actuarial Mathematics

University of Manchester

Research output: Contribution to journal › Article › peer-review

21 Citations (Scopus)

Abstract

An improved version of rectangular method (IRM) is introduced in this paper to numerically solve the stochastic Volterra equation (SVE). We focus on studying the order of error between the numerical and exact solutions, which is improved to O(h). Furthermore, an explicit form of the IRM scheme is introduced and its convergence is established. A numerical example has also been presented to show the feasibility of the methods.

Original language	English
Pages (from-to)	2492-2501
Number of pages	10
Journal	Journal of Computational and Applied Mathematics
Volume	235
Issue number	8
DOIs	https://doi.org/10.1016/j.cam.2010.11.002
Publication status	Published - 15 Feb 2011

Keywords

ItTaylor expansion
Numerical schemes
Rectangular methods
Stochastic Volterra equations

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10.1016/j.cam.2010.11.002

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KW - Numerical schemes

KW - Rectangular methods

KW - Stochastic Volterra equations

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Improved rectangular method on stochastic Volterra equations

Abstract

Keywords

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