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scientific article; zbMATH DE number 176816
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scientific article; zbMATH DE number 176816 |
Statements
18 May 1993
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stochastic collocation method
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stochastic Volterra integro-differential equation
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stochastic integral
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Îto integral
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Wiener process
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0.8567185997962952
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0.8129583597183228
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[For the entire collection see Zbl 0754.00007.] A stochastic Volterra integro-differential equation of the type \[ y'(t)=f(t,y(t))+\int_ 0^ t K(t,s,y(s))ds+\int_ 0^ t P(t,s,y(s))dW(s), \] \(y(0)=y_ 0\), \(t\in[0,T]\), is solved by collocation methods, where the stochastic integral is an Îto integral as to a standard Wiener process.
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