Improved rectangular method on stochastic Volterra equations

C. H. Wen, T. S. Zhang

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21 Citations (Scopus)


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 languageEnglish
Pages (from-to)2492-2501
Number of pages10
JournalJournal of Computational and Applied Mathematics
Issue number8
Publication statusPublished - 15 Feb 2011


  • ItTaylor expansion
  • Numerical schemes
  • Rectangular methods
  • Stochastic Volterra equations

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