The paper introduces improved stochastic ϑ-methods for the numerical integration of stochastic Volterra integral equations. Such methods, compared to those introduced by the authors in Conte et al. (2018)[14], have better stability properties. This is here made possible by inheriting the stability properties of the corresponding methods for systems of stochastic differential equations. Such a superiority is confirmed by a comparison of the stability regions.
Improved ϑ-methods for stochastic Volterra integral equations
D'Ambrosio R.;
2021-01-01
Abstract
The paper introduces improved stochastic ϑ-methods for the numerical integration of stochastic Volterra integral equations. Such methods, compared to those introduced by the authors in Conte et al. (2018)[14], have better stability properties. This is here made possible by inheriting the stability properties of the corresponding methods for systems of stochastic differential equations. Such a superiority is confirmed by a comparison of the stability regions.File in questo prodotto:
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