Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions (Q2244375)

Summary: This paper presents a valid numerical method to solve nonlinear stochastic Itô-Volterra integral equations (SIVIEs) driven by fractional Brownian motion (FBM) with Hurst parameter \(H\in ((1/2),1)\). On the basis of FBM and block pulse functions (BPFs), a new stochastic operational matrix is proposed. The nonlinear stochastic integral equation is converted into a nonlinear algebraic equation by this method. Furthermore, error analysis is given by the pathwise approach. Finally, two numerical examples exhibit the validity and accuracy of the approach.