A Fast Collocation Method for Solving Stochastic Integral Equations

DOI10.1137/090747920zbMath1202.65011OpenAlexW1988020164MaRDI QIDQ3056249

Yanzhao Cao, Yuesheng Xu, Bin Wu

Publication date: 11 November 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090747920

zbMATH Keywords

computational complexityconvergenceFredholm integral equationsnumerical experimentsstochastic integral equationsecond kindfast collocation method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Fredholm integral equations (45B05) Complexity and performance of numerical algorithms (65Y20) Stochastic integral equations (60H20) Random integral equations (45R05)

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