A fast collocation method for solving stochastic integral equations

DOI10.1137/090747920MaRDI QIDQ3056249zbMATH OpenOpenAlexFDO

Authors Yanzhao Cao, Bin Wu, Yuesheng Xu

Publication date 11 November 2010

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090747920

zbMATH Keywords

computational complexityconvergencenumerical experimentsFredholm integral equationssecond kindstochastic integral equationfast collocation method

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Numerical solutions to stochastic differential and integral equations (65C30) Fredholm integral equations (45B05) Random integral equations (45R05) Stochastic integral equations (60H20)

Recommendations

• Fast Collocation Methods for Second Kind Integral Equations
• Adaptive low-rank approximation of collocation matrices
• A stochastic collocation method for stochastic Volterra equations of the second kind
• Fast numerical collocation solutions of integral equations
• Fast collocation methods for solving ill-posed integral equations of the first kind

Cited in

(6)

• Simplex-stochastic collocation method with improved scalability
• Fast and accurate numerical algorithm for solving stochastic Itô-Volterra integral equations
• A stochastic collocation method for stochastic Volterra equations of the second kind
• Collocation methods for nonlinear stochastic Volterra integral equations
• A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation
• Adaptive low-rank approximation of collocation matrices

This page was built for publication: A fast collocation method for solving stochastic integral equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3056249)