Approximate solution of stochastic Volterra integro-differential equations by using moving least squares scheme and spectral collocation method

DOI10.1016/j.amc.2021.126447OpenAlexW3173711920WikidataQ115361098 ScholiaQ115361098MaRDI QIDQ2245061

Shiva Naserifar, Erfan Solhi, Farshid Mirzaee

Publication date: 12 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126447

zbMATH Keywords

nonlinear integral equationsmoving least squaresspectral collocation methodstochastic Volterra integro-differential equationsBrownian motion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Other nonlinear integral equations (45G10) Least squares and related methods for stochastic control systems (93E24) Brownian motion (60J65) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Stochastic integral equations (60H20)

Related Items (9)

Numerical solution of Itô-Volterra integral equations by the QR factorization method ⋮ A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations ⋮ Enhanced moving least squares method for solving the stochastic fractional Volterra integro-differential equations of Hammerstein type ⋮ Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process ⋮ Numerical solution of system of second-order integro-differential equations using nonclassical sinc collocation method ⋮ EMR-SSM: synchronous surrogate modeling-based enhanced moving regression method for multi-response prediction and reliability evaluation ⋮ Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics ⋮ An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations ⋮ Approximation technique for solving linear Volterra integro-differential equations with boundary conditions

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