Numerical approach for solving nonlinear stochastic Itô-Volterra integral equations using shifted Legendre polynomials

DOI10.1504/IJDSDE.2021.113905MaRDI QIDQ2113830zbMATH OpenWikidataFDO

Authors Rebiha Zeghdane

Publication date 14 March 2022

Published in International Journal of Dynamical Systems and Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJDSDE.2021.113905

zbMATH Keywords

approximate solutionbest approximationBrownian motioncollocation methodLegendre polynomialsstochastic Volterra integral equation

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Volterra integral equations (45D05) Random integral equations (45R05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20)

Review text

Summary: In this paper, we give a new method for solving stochastic nonlinear Volterra integral equations by using shifted Legendre operational matrix. It is discussed that how the stochastic differential equations (SDE) could numerically be solved as matrix problems. By using this new operational matrix of integration and the so-called collocation method, nonlinear Volterra integral equations is reduced to systems of algebraic equations with unknown Legendre coefficients. Finally, the high accuracy of approximated solutions are illustrated by several experiment.

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(12)

• Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations
• An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
• Numerical solution of stochastic Itô-Volterra integral equation by using shifted Jacobi operational matrix method
• An efficient computational method for solving stochastic Itô-Volterra integral equations
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations
• Convergence of Legendre wavelet collocation method for solving nonlinear Stratonovich Volterra integral equations
• A novel numerical approach based on shifted second‐kind Chebyshev polynomials for solving stochastic Itô–Volterra integral equation of Abel type with weakly singular kernel
• Lagrange interpolation polynomials for solving nonlinear stochastic integral equations
• Fractional Legendre kernel functions: theory and application
• Walsh function-based numerical approach for nonlinear stochastic integral equations: application to stochastic logistic models
• Numerical approximation of nonlinear stochastic Volterra integral equation based on Walsh function

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