On the stability of  $\vartheta$-methods for stochastic Volterra integral equations

Dajana Conte; Raffaele D'Ambrosio; Beatrice Paternoster

doi:10.3934/dcdsb.2018087

Article Contents

2018, Volume 23, Issue 7: 2695-2708. Doi: 10.3934/dcdsb.2018087

This issue Previous Article Effect of perturbation in the numerical solution of fractional differential equations Next Article Two-step collocation methods for fractional differential equations

On the stability of $\vartheta$-methods for stochastic Volterra integral equations

1.
Department of Mathematics, University of Salerno, Fisciano (SA), Italy
2.
Department of Engineering and Computer Science and Mathematics, University of L'Aquila, L'Aquila (AQ), Italy

* Corresponding author
* Corresponding author

Received: October 2016

Revised: January 2018

Early access: March 2018

Published: July 2018

The work is supported by GNCS-Indam project

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Abstract

The paper is focused on the analysis of stability properties of a family of numerical methods designed for the numerical solution of stochastic Volterra integral equations. Stability properties are provided with respect to the basic test equation, as well as to the convolution test equation. For each equation, stability properties are intended both in the mean-square and in the asymptotic sense. Stability regions are also provided for a selection of methods. Numerical experiments confirming the theoretical study are also given.

Keywords:

Mathematics Subject Classification: Primary: 65C30.

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Figure 1. Mean-square stability regions in the ($x, y$)-plane with respect to the basic test equation (2).

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Figure 2. Asymptotic stability regions in the ($x, y$)-plane with respect to the basic test equation (2).

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Figure 3. Mean-square stability regions in the ($x, y$)-plane with respect to the basic test equation (2) for values of $\vartheta\geq 1$.

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Figure 4. Mean-square and asymptotic stability regions in the ($x, y$)-plane with respect to the convolution test equation (3) for the stochastic $\vartheta$-method (5) for several choices of $\vartheta$ and $z$.

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Figure 5. Mean-square and asymptotic stability regions in the ($x, y$)-plane with respect to the convolution test equation (3) for $z = -2$ and several choices of $\vartheta$.

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Figure 6. Mean-square of the numerical solution of problem (2), with $\lambda = -8$ and $\mu = 2\sqrt{2}$, obtained by applying methods (5) (blue), (9) (black), (10) (magenta) and (15) (red) with $\vartheta = 1/2$.

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Figure 7. Absolute value of the numerical solution of problem (2), with $\lambda = -8$ and $\mu = 4$, obtained by applying methods (5) (blue), (9) (black), (10) (magenta) and (15) (red) with $\vartheta = 1/2$.

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Figure 8. Mean-square of the numerical solution of problem (3), with $\lambda = -4$, $\mu = 2\sqrt{5}/5$ and $\sigma = -2/h^2$, obtained by applying methods (5) (blue), (9) (black), (10) (magenta) and (15) (red) with $\vartheta = 1$.

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Figure 9. Absolute value of the numerical solution of problem (3), with $\lambda = -1$, $\mu = \sqrt{6}$ and $\sigma = -2/h^2$, obtained by applying methods (5) (blue), (9) (black), (10) (magenta) and (15) (red) with $\vartheta = 1$.

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