An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations

DOI10.1016/j.cam.2017.09.035zbMath1380.65019MaRDI QIDQ679576

Juan-Miguel Gracia

Publication date: 11 January 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.09.035

zbMATH Keywords

numerical examples; Itô integral; stochastic Volterra integral equations; successive approximations method; Brownian motion process; linear spline interpolation

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60H20: Stochastic integral equations

45R05: Random integral equations

Uses Software

• SplinePak