Journal of Integral Equations and Applications
- J. Integral Equations Applications
- Volume 30, Number 1 (2018), 197-218.
Split-step collocation methods for stochastic Volterra integral equations
In this paper, a split-step collocation method is proposed for solving linear stochastic Volterra integral equations (SVIEs) with smooth kernels. The H\"older condition and the conditional expectations of the exact solutions are investigated. The solvability and mean-square boundedness of numerical solutions are proved and the strong convergence orders of collocation solutions and iterated collocation solutions are also shown. In addition, numerical experiments are provided to verify the conclusions.
J. Integral Equations Applications, Volume 30, Number 1 (2018), 197-218.
First available in Project Euclid: 10 April 2018
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Xiao, Y.; Shi, J.N.; Yang, Z.W. Split-step collocation methods for stochastic Volterra integral equations. J. Integral Equations Applications 30 (2018), no. 1, 197--218. doi:10.1216/JIE-2018-30-1-197. https://projecteuclid.org/euclid.jiea/1523347345