A computational method for solving stochastic Ito-Volterra integral equation with multi-stochastic terms

被引：7

作者：

Momenzade, N. ^{[1
]}

Vahidi, A. R. ^{[2
]}

Babolian, E. ^{[2
]}

机构：

[1] Islamic Azad Univ, Sci & Res Branch, Dept Math, Tehran, Iran

[2] Islamic Azad Univ, Yadegar E Emam Khomeyni RAH Shahr E Rey Branch, Coll Sci, Dept Math, Tehran, Iran

来源：

MATHEMATICAL SCIENCES | 2018年 / 12卷 / 04期

关键词：

Modified hat functions; Stochastic operational matrix; Stochastic Ito-Volterra integral equation; Brownian motion; NUMERICAL-SOLUTION; OPERATIONAL MATRIX; DIFFERENTIAL-EQUATIONS; GALERKIN METHODS; SIMULATION; PREDICTION; DYNAMICS; MODEL;

D O I：

10.1007/s40096-018-0269-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, a linear combination of quadratic modified hat functions is proposed to solve stochastic Ito-Volterra integral equation with multi-stochastic terms. All known and unknown functions are expanded in terms of modified hat functions and replaced in the original equation. The operational matrices are calculated and embedded in the equation to achieve a linear system of equations which gives the expansion coefficients of the solution. Also, under some conditions the error of the method is O(h(3)). The accuracy and reliability of the method are studied and compared with those of block pulse functions and generalized hat functions in some examples.

引用

页码：295 / 303

页数：9

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