Improved rectangular method on stochastic Volterra equations |
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| Authors: | C.H. Wen T.S. Zhang |
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| Affiliation: | a School of Mathematics, University of Nottingham, Nottingham, NG7 2RD, United Kingdomb Department of Mathematical Sciences, Xi’an Jiao-Tong Liverpool University, Suzhou, 215123, Chinac School of Mathematics, University of Manchester, Manchester, M13 9PL, United Kingdom |
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| Abstract: | 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. |
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| Keywords: | 37M99 60H20 65C20 |
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