Numerical Approximation of Nonlinear Stochastic Volterra Integral Equation using Walsh Function

DOI10.1007/S40324-023-00341-5MaRDI QIDQ6439992zbMATH OpenFDO

Authors Prit Pritam Paikaray, Nigam Chandra Parida, Sanghamitra Beuria, Omid Nikan

Publication date 12 June 2023

Full work available at URL https://doi.org/10.1007/S40324-023-00341-5

Mathematics Subject Classification ID

Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This article proposes an efficient numerical method for solving nonlinear stochastic Volterra integral equations using the operational matrices of the Walsh function and the collocation method. In this method, a nonlinear stochastic Volterra integral equation is reduced to a system of algebraic equations, which are then solved to obtain an approximation of the solution. Error analysis has been performed, confirming the effectiveness of the methodology, which results in a linear order of convergence. Examples were computed to demonstrate the efficacy and precision of the method.

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