A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Itô-Volterra integral equations

DOI10.1515/rose-2020-2040zbMath1466.60110OpenAlexW3084618248MaRDI QIDQ2660759

Yanyan Li

Publication date: 31 March 2021

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2040

zbMATH Keywords

Itô integralstochastic operational matrixhybrid Legendre block-pulse functionsmulti-dimensional Brownian motionmulti-dimensional stochastic integral equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)

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Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process

Cites Work

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• Numerical solutions of stochastic Volterra-Fredholm integral equations by hybrid Legendre block-pulse functions
• 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
• An Introduction to Computational Stochastic PDEs
• A First Course in Integral Equations
• Stochastic differential equations. An introduction with applications.

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