Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations
From MaRDI portal
Publication:2222058
DOI10.1016/J.CAM.2020.113153zbMath1462.65223OpenAlexW3048947574MaRDI QIDQ2222058
Sahar Alipour, Farshid Mirzaee
Publication date: 3 February 2021
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.2020.113153
convergence analysisGauss-Legendre quadrature rulestochastic Itô-Volterra integral equationItô approximationquintic B-spline interpolation
Numerical computation using splines (65D07) Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Stochastic integral equations (60H20)
Related Items (5)
Construction of operational matrices based on linear cardinal B-spline functions for solving fractional stochastic integro-differential equation ⋮ ADM-TF hybrid method for nonlinear Itô-Volterra integral equations ⋮ Numerical solution of Itô-Volterra integral equations by the QR factorization method ⋮ A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations ⋮ An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic analysis for finance with simulations
- Properties of stochastic integro-differential equations with infinite delay: regularity, ergodicity, weak sense Fokker-Planck equations
- Finite difference schemes for linear stochastic integro-differential equations
- A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Quintic B-spline collocation method for numerical solution of the Kuramoto-Sivashinsky equation
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
- Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
- Quintic B-spline collocation method for second order mixed boundary value problem
- Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Cubic B-spline approximation for linear stochastic integro-differential equation of fractional order
- A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
- Quintic B-spline collocation method for fourth order partial integro-differential equations with a weakly singular kernel
- Time-lag control systems
- An efficient cubic B‐spline and bicubic B‐spline collocation method for numerical solutions of multidimensional nonlinear stochastic quadratic integral equations
- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
- A numerical approach for solving weakly singular partial integro‐differential equations via two‐dimensional‐orthonormal Bernstein polynomials with the convergence analysis
- Numerical solutions of generalized Burgers–Fisher and generalized Burgers–Huxley equations using collocation of cubicB-splines
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Collocation method for Fredholm and Volterra integral equations
This page was built for publication: Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations
