Numerical method for solving linear stochasticIto--Volterra integral equations driven by fractional Brownian motion using hat functions

DOI10.3906/MAT-1508-50zbMath1424.60085OpenAlexW2619231649MaRDI QIDQ4633300

Morteza Khodabin, B. Hashemi, Khosrow Maleknejad

Publication date: 2 May 2019

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1508-50

zbMATH Keywords

hat functionslinear stochastic integral equationBrownian and fractional Brownian

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (7)

An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations ⋮ Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks ⋮ Numerical solutions of distributed order fractional differential equations in the time domain using the Müntz–Legendre wavelets approach ⋮ Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion ⋮ A spectral collocation method with piecewise trigonometric basis functions for nonlinear Volterra-Fredholm integral equations ⋮ On accurate solution of the Fredholm integral equations of the second kind ⋮ A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion

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