A wavelet-based computational method for solving stochastic Ito-Volterra integral equations

被引：57

作者：

Mohammadi, Fakhrodin ^{[1
]}

机构：

[1] Hormozgan Univ, Dept Math, Bandarabbas, Iran

来源：

JOURNAL OF COMPUTATIONAL PHYSICS | 2015年 / 298卷

关键词：

Chebyshev wavelets; Ito integral; Stochastic operational matrix; Stochastic Ito-Volterra integral equations; RANDOM DIFFERENTIAL-EQUATIONS; NUMERICAL-SOLUTION; OPERATIONAL MATRIX;

D O I：

10.1016/j.jcp.2015.05.051

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper presents a computational method based on the Chebyshev wavelets for solving stochastic Ito-Volterra integral equations. First, a stochastic operational matrix for the Chebyshev wavelets is presented and a general procedure for forming this matrix is given. Then, the Chebyshev wavelets basis along with this stochastic operational matrix are applied for solving stochastic Ito-Volterra integral equations. Convergence and error analysis of the Chebyshev wavelets basis are investigated. To reveal the accuracy and efficiency of the proposed method some numerical examples are included. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：254 / 265

页数：12

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