Rectangular method on stochastic volterra equations

C. H. Wen; T. S. Zhang

Rectangular method on stochastic volterra equations

C. H. Wen^*, T. S. Zhang

^*Corresponding author for this work

University of Manchester

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

12 Citations (Scopus)

Abstract

This paper introduces a numerical scheme for stochastic Volterra equation (SVE): rectangular method (RM). The order of error between the numerical and exact solution is analyzed. Furthermore, we study the existence and uniqueness of the solution of stochastic Volterra equation with Markovian switching (SVEMS). The RM scheme to SVEMS is also established.

Original language	English
Pages (from-to)	12-26
Number of pages	15
Journal	International Journal of Applied Mathematics and Statistics
Volume	14
Issue number	J09
Publication status	Published - 2009
Externally published	Yes

Keywords

Numerical scheme
Rectangular method
Stochastic volterra equation
Stochastic volterra equation with markovian switching

Cite this

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title = "Rectangular method on stochastic volterra equations",

abstract = "This paper introduces a numerical scheme for stochastic Volterra equation (SVE): rectangular method (RM). The order of error between the numerical and exact solution is analyzed. Furthermore, we study the existence and uniqueness of the solution of stochastic Volterra equation with Markovian switching (SVEMS). The RM scheme to SVEMS is also established.",

keywords = "Numerical scheme, Rectangular method, Stochastic volterra equation, Stochastic volterra equation with markovian switching",

author = "Wen, {C. H.} and Zhang, {T. S.}",

year = "2009",

language = "English",

volume = "14",

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journal = "International Journal of Applied Mathematics and Statistics",

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TY - JOUR

T1 - Rectangular method on stochastic volterra equations

AU - Wen, C. H.

AU - Zhang, T. S.

PY - 2009

Y1 - 2009

N2 - This paper introduces a numerical scheme for stochastic Volterra equation (SVE): rectangular method (RM). The order of error between the numerical and exact solution is analyzed. Furthermore, we study the existence and uniqueness of the solution of stochastic Volterra equation with Markovian switching (SVEMS). The RM scheme to SVEMS is also established.

AB - This paper introduces a numerical scheme for stochastic Volterra equation (SVE): rectangular method (RM). The order of error between the numerical and exact solution is analyzed. Furthermore, we study the existence and uniqueness of the solution of stochastic Volterra equation with Markovian switching (SVEMS). The RM scheme to SVEMS is also established.

KW - Numerical scheme

KW - Rectangular method

KW - Stochastic volterra equation

KW - Stochastic volterra equation with markovian switching

UR - http://www.scopus.com/inward/record.url?scp=77954804611&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:77954804611

SN - 0973-1377

VL - 14

SP - 12

EP - 26

JO - International Journal of Applied Mathematics and Statistics

JF - International Journal of Applied Mathematics and Statistics

IS - J09

ER -

Rectangular method on stochastic volterra equations

Abstract

Keywords

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