Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials

DOI10.1007/s11766-021-3694-9zbMath1488.65762OpenAlexW3201634501MaRDI QIDQ2057392

A. R. Yaghoobnia, Morteza Khodabin, Reza Ezzati

Publication date: 6 December 2021

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-021-3694-9

zbMATH Keywords

stochastic operational matrixBrownian motion processBernstein multi-scaling polynomialstochastic Itô-Volterra integral equation

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Random integral equations (45R05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Computational method based on Bernstein operational matrices for nonlinear Volterra-Fredholm-Hammerstein integral equations
• Integrals of Bernstein polynomials: an application for the solution of high even-order differential equations
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• A new approach to the numerical solution of Volterra integral equations by using Bernstein's approximation
• Application of two-dimensional Bernstein polynomials for solving mixed Volterra-Fredholm integral equations
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Simulation of stochastic differential equations
• Modified block pulse functions for numerical solution of stochastic Volterra integral equations
• Random integral equations with applications to life sciences and engineering
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Introduction to stochastic integration.
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• Numerical solution of some classes of integral equations using Bernstein polynomials
• Bernstein multiscaling polynomials and application by solving Volterra integral equations
• Mean square numerical solution of random differential equations: Facts and possibilities
• Operational matrices of Bernstein polynomials and their applications
• The numerical solution of stochastic differential equations
• Stochastic differential equations. An introduction with applications.