Split-step collocation methods for stochastic Volterra integral equations

Abstract

In this paper, a split-step collocation method is proposed for solving linear stochastic Volterra integral equations (SVIEs) with smooth kernels. The H\older condition and the conditional expectations of the exact solutions are investigated. The solvability and mean-square boundedness of numerical solutions are proved and the strong convergence orders of collocation solutions and iterated collocation solutions are also shown. In addition, numerical experiments are provided to verify the conclusions.