Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions
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Publication:2244375
Summary: This paper presents a valid numerical method to solve nonlinear stochastic Itô-Volterra integral equations (SIVIEs) driven by fractional Brownian motion (FBM) with Hurst parameter \(H\in ((1/2),1)\). On the basis of FBM and block pulse functions (BPFs), a new stochastic operational matrix is proposed. The nonlinear stochastic integral equation is converted into a nonlinear algebraic equation by this method. Furthermore, error analysis is given by the pathwise approach. Finally, two numerical examples exhibit the validity and accuracy of the approach.
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Cited in
(13)- 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
- 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 using the block pulse operational matrices
- Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion
- Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
- Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks
- A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion
- A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance
- Triangular function method is adopted to solve nonlinear stochastic Itô-Volterra integral equations
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using triangular functions
- Numerical solution of stochastic Itô-Volterra integral equations driven by fractional Brownian motion using quintic B-spline collocation method
- Numerical solutions of stochastic delay integro-differential equations by block pulse functions
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