Theoretical error analysis of solution for two-dimensional stochastic Volterra integral equations by Haar wavelet

DOI10.1007/s40819-019-0739-3zbMath1452.65013OpenAlexW2982387919WikidataQ126862610 ScholiaQ126862610MaRDI QIDQ2334731

Khosrow Maleknejad, Morteza Khodabin, Mohsen Fallahpour

Publication date: 7 November 2019

Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40819-019-0739-3

zbMATH Keywords

Itô integralVolterra integral equationtwo-dimensional integral equationstochastic integral equationBrownian motion processHaar wavelet function

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods for wavelets (65T60) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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Two reliable methods for numerical solution of nonlinear stochastic Itô–Volterra integral equation ⋮ An error estimation of a Nyström type method for integral-algebraic equations of index-1 ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ An efficient numerical method based on Lucas polynomials to solve multi-dimensional stochastic Itô-Volterra integral equations

Cites Work

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