An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation

DOI10.1016/J.AMC.2019.124947MaRDI QIDQ2287696zbMATH OpenOpenAlexWikidataFDO

Authors Sahar Alipour, Farshid Mirzaee

Publication date 21 January 2020

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

Full work available at URL https://doi.org/10.1016/j.amc.2019.124947

zbMATH Keywords

successive approximation methodstochastic integral equationGauss-Legendre quadrature rulebilinear spline interpolation

Mathematics Subject Classification ID

Numerical integration (65D30) Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 6342199 (Why is no real title available?)
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• scientific article; zbMATH DE number 193036 (Why is no real title available?)
• A comparison between solving two dimensional integral equations by the traditional collocation method and radial basis functions
• A new method based on Haar wavelet for the numerical solution of two-dimensional nonlinear integral equations
• A new spectral meshless radial point interpolation (SMRPI) method for the two-dimensional Fredholm integral equations on general domains with error analysis
• A numerical approach for solving weakly singular partial integro-differential equations via two-dimensional-orthonormal Bernstein polynomials with the convergence analysis
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
• Chebyshev polynomials for solving two dimensional linear and nonlinear integral equations of the second kind
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• Cubic B-spline approximation for linear stochastic integro-differential equation of fractional order
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Extrapolation method of iterated collocation solution for two-dimensional nonlinear Volterra integral equations
• Finite difference schemes for linear stochastic integro-differential equations
• Fractional-order orthogonal Bernstein polynomials for numerical solution of nonlinear fractional partial Volterra integro-differential equations
• Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation
• Numerical methods for simulation of stochastic differential equations
• Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
• Numerical solution of Itô-Volterra integral equation by least squares method
• Numerical solution of nonlinear partial quadratic integro-differential equations of fractional order via hybrid of block-pulse and parabolic functions
• Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model
• Properties of stochastic integro-differential equations with infinite delay: regularity, ergodicity, weak sense Fokker-Planck equations
• Stochastic analysis for finance with simulations
• Time-lag control systems

Cited in

(9)

• Construction of operational matrices based on linear cardinal B-spline functions for solving fractional stochastic integro-differential equation
• Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme
• Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process
• A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation
• Analytical and numerical approach for a nonlinear Volterra-Fredholm integro-differential equation
• Wavelet matrix operations and quantum transforms
• A numerical approach based on Pell polynomial for solving stochastic fractional differential equations
• A qualitative study of solutions of nonlinear Volterra integral equation in the plane, from the perspective of Shiba bounded variation
• An efficient cubic B-spline and bicubic B-spline collocation method for numerical solutions of multidimensional nonlinear stochastic quadratic integral equations

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