Improved rectangular method on stochastic Volterra equations

Authors:
C. H. Wen;T. S. Zhang
Affiliations:
School of Mathematics, University of Nottingham, Nottingham, NG7 2RD, United Kingdom and Department of Mathematical Sciences, Xi'an Jiao-Tong Liverpool University, Suzhou, 215123, China;School of Mathematics, University of Manchester, Manchester, M13 9PL, United Kingdom
Venue:
Journal of Computational and Applied Mathematics
Year:
2011

Citing 4
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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.