Convergence of the balanced Euler method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients

Abstract

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 and strong convergence are shown. Moreover, the theoretical results are illustrated by some numerical examples.