Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	Chengming Huang, Huazhong University of Science and Technology
Inviter:
Title:	A split-step theta method for stochastic Volterra integral equations
Time & Venue:	2019.09.11 14:30-15:15 N204
Abstract:	In this talk, a split-step method is introduced for solving stochastic Volterra integral equations with general smooth kernels. First, the mean-square boundedness and superconvergence properties of the numerical solution are analyzed. Then, the mean-square stability of the method with respect to a convolution test equation is studied. A recurrence relation is found and mean-square stability regions are given by using root locus method. In particular, when the test equation degrades to the deterministic case, the new method with is -stable (i.e., it can preserve the stability of the convolution test equation), which is superior to the stochastic method. Finally, some numerical experiments are given to verify the theoretical results. This is a joint work with Min Li.