A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions (Q349193): Difference between revisions

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English	A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions	scientific article

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scholarly article

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title

A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions (English)

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Mohammad Reza Hooshmandasl

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published in

Journal of Computational Physics

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publication date

5 December 2016

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zbMATH Keywords

generalized hat basis functions

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stochastic operational matrix

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stochastic Itô-Volterra integral equations

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Itô integral

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Brownian motion process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jcp.2014.03.064

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cites work

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Spatial Besov regularity for semilinear stochastic partial differential equations on bounded Lipschitz domains

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Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions

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Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix

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A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix

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Approximate travelling waves for generalized KPP equations and classical mechanics

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Numerical solution of stochastic differential equations with jumps in finance

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Shrinkage rules for variational minimization problems and applications to analytical ultracentrifugation

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Numerical solution of random differential equations: a mean square approach

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Successive approximations for solutions of second order stochastic integrodifferential equations of Ito type

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Euler schemes and large deviations for stochastic Volterra equations with singular kernels

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One linear analytic approximation for stochastic integrodifferential equations

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Stochastic Volterra equations in Banach spaces and stochastic partial differential equation

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Backward stochastic Volterra integral equations and some related problems

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On a class of backward stochastic Volterra integral equations

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A numerical method for solving systems of linear and nonlinear integral equations of the second kind by hat basis functions

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A new numerical algorithm to solve fractional differential equations based on operational matrix of generalized hat functions

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Q4404205

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Shannon wavelets theory

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Shannon wavelets for the solution of integrodifferential equations

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Fractional calculus and Shannon wavelet

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A Course in Financial Calculus

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Identifiers

zbMATH Open document ID

1349.65711

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Mathematics Subject Classification ID

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10.1016/J.JCP.2014.03.064

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Mathematics(1 entry)

mardi Publication:349193

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