Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy noise-Reference-Cited by-同舟云学术

Strong convergence of the Euler-Maruyama method for the generalized stochastic Volterra integral equations driven by Lévy noise

Published:2022 Issue:19 Volume:36 Page:6713-6734
ISSN:0354-5180
Container-title:Filomat
language:en
Short-container-title:Filomat

Author:

Zhang Wei¹,Li Rui²

Affiliation:

1. School of Mathematical Sciences, Heilongjiang University, Harbin, Heilongjiang, China

2. Qingdao Harbour Vocational and Technical College, Qingdao, Shandong, China

Abstract

In this paper, the theoretical and numerical analysis of the stochastic Volterra integral equations (SVIEs) driven by L?vy noise are considered. We investigate the existence, uniqueness, boundedness and H?lder continuity of the analytic solutions for SVIEs driven by L?vy noise. The Euler-Maruyama method for SVIEs driven by L?vy noise is proposed. The boundedness of the numerical solution is proved, and the strong convergence order is obtained. Some numerical examples are given to support the theoretical results.

Publisher

National Library of Serbia

Subject

General Mathematics

Reference28 articles.

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