Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations

In this paper, we consider the Euler-Maruyama method for a class of stochastic Volterra integral equations (SVIEs). It is known that the strong convergence order of the Euler-Maruyama method is $\frac12$. However, the strong superconvergence order $1$ can be obtained for a class of SVIEs if the kernels $\sigma_{i}(t, t) = 0$ for $i=1$ and $2$; otherwise, the strong convergence order is $\frac12$. Moreover, the theoretical results are illustrated by some numerical examples.     

非线性中立型随机延迟微分方程随机θ方法的稳定性

本文研究非线性中立型随机延迟微分方程随机θ方法的均方稳定性.在方程解析解均方稳定的条件下,证明了如下结论:当θ∈[0,1/2)时,随机θ方法对于适当小的时间步长是均方稳定的;当θ∈[1/2,1]时,随机θ方法对于任意步长都是均方稳定的.数值结果验证了所获结论的正确性.     

Convergence and Stability of the Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments

In this paper, we develop the truncated Euler-Maruyama (EM) method for stochastic differential equations with piecewise continuous arguments (SDEPCAs), and consider the strong convergence theory under the local Lipschitz condition plus the Khasminskii-type condition. The order of convergence is obtained. Moreover, we show that the truncated EM method can preserve the exponential mean square stability of SDEPCAs. Numerical examples are provided to support our conclusions.     

Generalized Jacobi Spectral-Galerkin Method for Nonlinear Volterra Integral Equations with Weakly Singular Kernels

We propose a generalized Jacobi spectral-Galerkin method for the nonlinear Volterra integral equations (VIEs) with weakly singular kernels. We establish the existence and uniqueness of the numerical solution, and characterize the convergence of the proposed method under reasonable assumptions on the nonlinearity. We also present numerical results which are consistent with the theoretical predictions.     

Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition

The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients have been relaxed to include polynomial growth and only continuity in the arguments corresponding to delays. Furthermore, the rate of convergence is obtained under one-sided and polynomial Lipschitz conditions. Finally, our findings are demonstrated with the help of numerical simulations.     

The Convergence of Truncated Euler-Maruyama Method for Stochastic Differential Equations with Piecewise Continuous Arguments Under Generalized One-Sided Lipschitz Condition

In this paper, we consider the stochastic differential equations with piecewise continuous arguments (SDEPCAs) in which the drift coefficient satisfies the generalized one-sided Lipschitz condition and the diffusion coefficient satisfies the linear growth condition. Since the delay term $t-[t]$ of SDEPCAs is not continuous and differentiable, the variable substitution method is not suitable. To overcome this difficulty, we adopt new techniques to prove the boundedness of the exact solution and the numerical solution. It is proved that the truncated Euler-Maruyama method is strongly convergent to SDEPCAs in the sense of $L^{\bar{q}}(\bar{q}\ge 2)$. We obtain the convergence order with some additional conditions. An example is presented to illustrate the analytical theory.     

一类随机延迟微分代数系统的Euler-Maruyama方法

我们主要构造了数值求解一类1指标随机延迟微分代数系统的Euler-Maruyama方法,并且证明用该方法求解此类问题可达到1/2阶均方收敛.最后的效值试验验证了方法的有效性及所获结论的正确性.     

Volterra积分方程和泛函微分方程的振动性

本文建立了Ｖｏｌｔｅｒａ积分方程和一阶泛函微分方程解的振动准则．     

Regularity of Backward Stochastic Volterra Integral Equations in Hilbert Spaces

This article investigates backward stochastic Volterra integral equations in Hilbert spaces. The existence and uniqueness of their adapted solutions is reviewed. We establish the regularity of the adapted solutions to such equations by means of Malliavin calculus. For an application, we study an optimal control problem for a stochastic Volterra integral equation driven by a Hilbert space-valued fractional Brownian motion. A Pontryagin-type maximum principle is formulated for the problem and an example is presented.     

Strong Predictor-Corrector Approximation for Stochastic Delay Differential Equations

This paper presents a strong predictor-corrector method for the numerical solution of stochastic delay differential equations (SDDEs) of Itô-type. The method is proved to be mean-square convergent of order min{$1/2, \hat{p}$} under the Lipschitz condition and the linear growth condition, where $\hat{p}$ is the exponent of Hölder condition of the initial function. Stability criteria for this type of method are derived. It is shown that for certain choices of the flexible parameter $p$ the derived method can have a better stability property than more commonly used numerical methods. That is, for some $p$, the asymptotic MS-stability bound of the method will be much larger than that of the Euler-Maruyama method. Numerical results are reported confirming convergence properties and comparing stability properties of methods with different parameters $p$. Finally, the vectorised simulation is discussed and it is shown that this implementation is much more efficient.     

随机Volterra积分方程的非标准及演解法

本文借助星型Ｍｏｂｉｕｓ反演得到随机积分Ｖｏｌｔｅｒｒａ方程的一个全新解法．它旨在揭示离散反演与连续反演的内在联系，为探索各类反演的统一性提供了一种可能的研究途径．     

Spline Collocation-Interpolation Method for Linear and Nonlinear Cordial Volterra Integral Equations

We study the convergence and convergence speed of the discontinuous spline collocation and collocation-interpolation methods on uniform grids for linear and nonlinear Volterra integral equations of the second kind with noncompact operators.     

随机延迟微分方程的Milstein方法的非线性均方稳定性

本文针对一般的非线性随机延迟微分方程,证明了当系统理论解满足均方稳定性条件时,则当方程的漂移和扩散项满足一定的条件时,Milstein方法也是均方稳定的.数学实验进一步验证了我们的结论.     

Multi-Step Maruyama Methods for Stochastic Delay Differential Equations

Abstract

In this article the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their 𝕃 _p -consistency, numerical 𝕃 _p -stability and 𝕃 _p -convergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-square consistency.     

解带有扰动数据的第一类Volterra积分方程的谱正则化方法

该文的主要目的是通过使用Legendre配置方法和正则化策略来求解带有噪声数据的第一类Volterra积分方程,并给出该方法收敛性分析的严格数学证明.数值实验表明了该方法的有效性.     

线性随机微分方程的离散波形松弛方法的几乎必然收敛性

提出了随机微分方程的离散型波形松弛方法,证明了它是几乎必然收敛的.此外,通过数值实验验证了所得结果.     

Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations

In this paper, the numerical methods for semi-linear stochastic delay integro-differential equations are studied. The uniqueness, existence and stability of analytic solutions of semi-linear stochastic delay integro-differential equations are studied and some suitable conditions for the mean-square stability of the analytic solutions are also obtained. Then the numerical approximation of exponential Euler method for semi-linear stochastic delay integro-differential equations is constructed and the convergence and the stability of the numerical method are studied. It is proved that the exponential Euler method is convergent with strong order $\frac{1}{2}$ and can keep the mean-square exponential stability of the analytical solutions under some restrictions on the step size. In addition, numerical experiments are presented to confirm the theoretical results.     

带跳的时滞随机微分方程近似解的收敛性

本文研究了一类具有Possion跳的时滞随机微分方程（SDDEwJPs）．在一般情况下SDDEwJPs没有解析解．因此合适的数值逼近法，例如欧拉法，就是在研究它们性质时所采用的重要工具．本文在局部李普希兹条件下证明了欧拉近似解强收敛于SDDEwJPs的精确解（分析解）．     

Banach空间中一类非线性Volterra型积分方程整体解的存在性

利用一个新的不动点定理在较弱的条件下考虑Banach空间中一类非线性Voherra型积分方程整体解的存在性．由于非线性项中含有非线性积分算子,相对于线性积分算子,文章所得结论推广并丰富了已有文献的一些结果．     

Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

We study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.