Numerical solution of Itô-Volterra integral equation by least squares method
From MaRDI portal
Publication:2181672
DOI10.1007/s11075-019-00770-2zbMath1456.65005OpenAlexW2962078279MaRDI QIDQ2181672
Publication date: 19 May 2020
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-019-00770-2
Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Stochastic integral equations (60H20) Random integral equations (45R05)
Related Items
An interpolation-based method for solving Volterra integral equations, Numerical solution of Itô-Volterra integral equations by the QR factorization method, A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations, Piecewise barycentric interpolating functions for the numerical solution of Volterra integro‐differential equations, Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process, Least square method based on Haar wavelet to solve multi-dimensional stochastic Itô-Volterra integral equations, Unnamed Item, Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations, Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method, An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic analysis for finance with simulations
- A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
- One linear analytic approximation for stochastic integrodifferential equations
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Block pulse functions and their applications in control systems
- Second kind Chebyshev wavelet Galerkin method for stochastic Itô-Volterra integral equations
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- Successive approximations for solutions of second order stochastic integrodifferential equations of Ito type
- Numerical solution of stochastic differential equations with jumps in finance
- A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
- Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
- Application of hat basis functions for solving two-dimensional stochastic fractional integral equations
- A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
- Mean square numerical solution of random differential equations: Facts and possibilities
- Numerical solution of random differential equations: a mean square approach
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Approximate travelling waves for generalized KPP equations and classical mechanics
- On the numerical solution of stochastic quadratic integral equations via operational matrix method
- Spatial Besov regularity for semilinear stochastic partial differential equations on bounded Lipschitz domains
- Shrinkage rules for variational minimization problems and applications to analytical ultracentrifugation
- Convex analysis and monotone operator theory in Hilbert spaces
- Stochastic differential equations. An introduction with applications.
