An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations

DOI10.1016/J.MATCOM.2022.06.029OpenAlexW4283816005WikidataQ114149822 ScholiaQ114149822MaRDI QIDQ2079375FDOQ2079375

Authors: Yanyan Li 

Publication date: 29 September 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2022.06.029

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zbMATH Keywords

convergence analysisoperational matricesLucas polynomialItô integralmulti-dimensional stochastic Itô-Volterra integral equations

Mathematics Subject Classification ID

Numerical analysis (65-XX) Integral equations (45-XX)

Cites Work

• Stochastic differential equations. An introduction with applications.
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• Stochastic operational matrix of Chebyshev wavelets for solving multi-dimensional stochastic Itô–Volterra integral equations

Cited In (6)

• A novel operational matrix method based on Genocchi polynomials for solving \(n\)-dimensional stochastic Itô-Volterra integral equation
• Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process
• Pseudo-spectral Galerkin method using shifted Vieta-Fibonacci polynomials for stochastic models: existence, stability, and numerical validation
• A numerical approach based on Pell polynomial for solving stochastic fractional differential equations
• Enhanced moving least squares method for solving the stochastic fractional Volterra integro-differential equations of Hammerstein type
• A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance

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