New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion

DOI10.1080/07362994.2020.1794892zbMath1472.60110OpenAlexW3044647257MaRDI QIDQ4986422

S. Singh, Santanu Saha Ray

Publication date: 27 April 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2020.1794892

zbMATH Keywords

fractional Brownian motionsecond kind Chebyshev waveletsfractional stochastic integral equationsfractional stochastic operational matrix

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process ⋮ A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion ⋮ Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics ⋮ Numerical solution of stochastic Itô-Volterra integral equation by using shifted Jacobi operational matrix method

Cites Work

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• Benoît Mandelbrot and fractional Brownian motion
• Numerical study of stochastic Volterra-Fredholm integral equations by using second kind Chebyshev wavelets
• Numerical solutions of stochastic Volterra-Fredholm integral equations by hybrid Legendre block-pulse functions
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Nonlinear Differential Equations in Physics
• Stochastic operational matrix of Chebyshev wavelets for solving multi-dimensional stochastic Itô–Volterra integral equations
• Fractional Brownian Motions, Fractional Noises and Applications

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