STRONG CONVERGENCE OF THE EULER-MARUYAMA METHOD FOR NONLINEAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH TIME-DEPENDENT DELAY  

作　　者：Siyuan Qi Guangqiang Lan 

机构地区：[1]College of Mathematics and Physics,Beijing University of Chemical Technology,Beijing 100029,China

出　　处：《Journal of Computational Mathematics》2022年第3期437-452,共16页计算数学（英文）

基　　金：Supported by Beijing Municipal Natural Science Foundation(1192013).

摘　　要：We consider a nonlinear stochastic Volterra integral equation with time-dependent delay and the corresponding Euler-Maruyama method in this paper.Strong convergence rate(at fixed point)of the corresponding Euler-Maruyama method is obtained when coefficients f and g both satisfy local Lipschitz and linear growth conditions.An example is provided to interpret our conclusions.Our result generalizes and improves the conclusion in[J.Gao,H.Liang,S.Ma,Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay,Appl.Math.Comput.,348(2019)385-398.]

关 键 词：Stochastic Volterra integral equation Euler-Maruyama method Strong convergence Time-dependent delay 

分 类 号：O17[理学—数学]