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

DOI10.1155/2021/4934658zbMATH Open1486.65007OpenAlexW3208409680MaRDI QIDQ2244375FDOQ2244375

Authors Mengting Deng, Guo Jiang, Ting Ke 

Publication date 12 November 2021

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2021/4934658

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 2175043 (Why is no real title available?)
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• An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter
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• Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
• Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
• Numerical solution of nonlinear stochastic Itô-Volterra integral equations based on Haar wavelets
• Numerical solution of nonlinear stochastic Itô-Volterra integral equations by block pulse functions
• Numerical solution of nonlinear stochastic integral equation by stochastic operational matrix based on Bernstein polynomials
• Numerical solution of stochastic Ito-Volterra integral equations using Haar wavelets
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic analysis of the fractional Brownian motion
• Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion

Cited in

(10)

• Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion
• Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions
• A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance
• Numerical solution of nonlinear stochastic differential equations using the block pulse operational matrices
• Triangular function method is adopted to solve nonlinear stochastic Itô-Volterra integral equations
• Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics
• Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks
• Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
• A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion
• Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order

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