Strong Super Convergence of the Balanced Euler Method for a Class of Stochastic Volterra Integro-Differential Equations With Non-Globally Lipschitz Continuous Coefficients

FILOMAT（2021）

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摘要

In this paper, we propose the balanced Euler method of a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients. The moment boundedness is studied and the strong convergence is shown to be 1. Moreover, the theoretical results are illustrated by a numerical example.

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关键词

Stochastic Volterra integro, differential equationsNon, globally Lipschitz conditionKhasminskii, type conditionBalanced Euler methodStrong convergence

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