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

DOI10.1016/j.mcm.2011.08.053zbMath1255.65247OpenAlexW2020442214MaRDI QIDQ1930997

Morteza Khodabin, Madjid Rostami, Khosrow Maleknejad

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.08.053

zbMATH Keywords

Itô integralstochastic Volterra integral equationsstochastic operational matrixblock pulse functionsBrownian motion process

Mathematics Subject Classification ID

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

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