Second kind Chebyshev wavelet Galerkin method for stochastic Itô-Volterra integral equations (Q727547)

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Second kind Chebyshev wavelet Galerkin method for stochastic Itô-Volterra integral equations
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    Second kind Chebyshev wavelet Galerkin method for stochastic Itô-Volterra integral equations (English)
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    7 December 2016
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    Using a stochastic operational matrix for the second kind Chebyshev wavelets used as a basis, a Galerkin approximation scheme is devised to obtain numerical approximations for the solution of an Itô stochastic Volterra integral equation of the form \[ X(t)= f(t)+ \int^t_0 \alpha(s, X(s))\,ds + \int^t_0 \sigma(s,X(s))\,dB(s),\quad t\in[0,T), \] where \(B(t)\) is a Brownian motion process. \(L^2\) convergence of the approximate solutions to the exact solution is proved. For three examples numerical results from this method are compared with the exact solution and with results from other numerical methods to illustrate the accuracy and efficiency of this method.
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    second kind Chebyshev wavelets
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    Itô integral
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    stochastic operational matrix
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    stochastic Itô-Volterra integral equations
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    Brownian motion
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    numerical results
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