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Maleknejad, Khosrow; Khodabin, Morteza; Rostami, Madjid

Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions. (English) Zbl 1255.65247

Math. Comput. Modelling 55, No. 3-4, 791-800 (2012).
Summary: We propose an efficient method for solving stochastic Volterra integral equations. By using block pulse functions and their stochastic operational matrix of integration, a stochastic Volterra integral equation can be reduced to a linear lower triangular system, which can be directly solved by forward substitution. The results show that the approximate solutions have a good degree of accuracy.

Cited in 54 Documents

MSC:

65R20 Numerical methods for integral equations
60H20 Stochastic integral equations
45R05 Random integral equations

Keywords:

block pulse functions; stochastic operational matrix; stochastic Volterra integral equations; Itô integral; Brownian motion process
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\textit{K. Maleknejad} et al., Math. Comput. Modelling 55, No. 3--4, 791--800 (2012; Zbl 1255.65247)
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References:

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