Strong Convergence of Truncated EM Method for Stochastic Volterra Integral Differential Equations with Hölder Diffusion Coefficients

Juanting Feng and Qimin Zhang ()
Additional contact information
Juanting Feng: Department of Basic, Yinchuan University of Energy, Yinchuan 750105, China
Qimin Zhang: School of Mathematics and Statistics, Ningxia University, Yinchuan 750021, China

Mathematics, 2024, vol. 12, issue 23, 1-13

Abstract: The strong convergence of numerical solutions is studied in this paper for stochastic Volterra integral differential equations (SVIDEs) with a Hölder diffusion coefficient using the truncated Euler–Maruyama method. Firstly, the numerical solutions of SVIDEs are obtained based on the Euler–Maruyama method. Then, the p th moment boundedness and strong convergence of truncated the Euler–Maruyama numerical solutions are proven under the local Lipschitz condition and the Khasminskii-type condition. Finally, the convergence rate of the truncated Euler–Maruyama method of the numerical solutions is also discussed under some suitable assumptions.

Keywords: stochastic Volterra integral differential equations; Khasminskii-type condition; strong convergence; local Lipschitz condition; truncated Euler–Maruyama method (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/12/23/3662/pdf (application/pdf)
https://www.mdpi.com/2227-7390/12/23/3662/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:12:y:2024:i:23:p:3662-:d:1527276

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().