Numerical solution of a system of random Volterra integral equations. I: Successive approximation method (Q1104723)

The authors present a procedure for numerically approximating the solution of a system of random Volterra integral equations. The method involves discretizing the system with respect to the real variables and then applying successive approximation and simulation to generate the desired numerical approximations. Boundedness and continuity conditions needed to establish convergence of the successive approximations are delineated. Numerical approximations for the mean and variance of the solution of a simple example of a two equation system are given, and then the use of the Kolmogorov-Smirnov test to estimate the distribution of the solution is discussed.