Stochastic Volterra integral equations are relevant in many applications, expecially those concerning stochastic dynamical systems with memory. We introduce an improved stochastic theta-method which can inherit the stability properties of the corresponding method for stochastic differential equations. The superiority of the improved method with respect to the existing theta-method is confirmed by a comparison of the stability regions.
Stability analysis of theta-methods for stochastic Volterra integral equations
Dajana Conte;Beatrice Paternoster
2019-01-01
Abstract
Stochastic Volterra integral equations are relevant in many applications, expecially those concerning stochastic dynamical systems with memory. We introduce an improved stochastic theta-method which can inherit the stability properties of the corresponding method for stochastic differential equations. The superiority of the improved method with respect to the existing theta-method is confirmed by a comparison of the stability regions.File in questo prodotto:
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