Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions

This article proposes 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 solve...

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Bibliographic Details
Published in:Mathematical and computer modelling 2012-02, Vol.55 (3), p.791-800
Main Authors: Maleknejad, K., Khodabin, M., Rostami, M.
Format: Article
Language:English
Subjects:
Block pulse functions
Brownian motion process
Itô integral
Stochastic operational matrix
Stochastic Volterra integral equations
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Summary:This article proposes 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.
ISSN:0895-7177
1872-9479
DOI:10.1016/j.mcm.2011.08.053