Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics
DOI10.1007/S40314-023-02263-4OpenAlexW4360976674MaRDI QIDQ2695686FDOQ2695686
Authors: Yanyan Li 
Publication date: 31 March 2023
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-023-02263-4
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fractional Brownian motionspectral Galerkin methodshifted Chebyshev polynomialshifted Chebyshev cardinal functionstochastic Itô-Volterra integral equationItô approximation
Linear integral equations (45A05) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)
Cites Work
- Fractional Brownian Motions, Fractional Noises and Applications
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Spectral Methods
- Stochastic differential equations. An introduction with applications.
- Legendre wavelets method for the nonlinear Volterra---Fredholm integral equations
- Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
- Numerical solution of linear Fredholm integral equation by using hybrid Taylor and Block-Pulse functions.
- Numerical solution of nonlinear Volterra integral equations of the second kind by using Chebyshev polynomials
- Second kind Chebyshev wavelet Galerkin method for stochastic Itô-Volterra integral equations
- Numerical solutions for weakly singular Volterra integral equations using Chebyshev and Legendre pseudo-spectral Galerkin methods
- Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations
- Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
- Two reliable methods for numerical solution of nonlinear stochastic Itô-Volterra integral equation
- New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion
- A new solution method for stochastic differential equations via collocation approach
- Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
- Chebyshev collocation treatment of Volterra-Fredholm integral equation with error analysis
- Approximate solution of stochastic Volterra integro-differential equations by using moving least squares scheme and spectral collocation method
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
- A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion
- ADM-TF hybrid method for nonlinear Itô-Volterra integral equations
Cited In (6)
- A novel numerical approach based on shifted second‐kind Chebyshev polynomials for solving stochastic Itô–Volterra integral equation of Abel type with weakly singular kernel
- Extended Cesàro companion operators on generalized Fock spaces
- Pseudo-spectral Galerkin method using shifted Vieta-Fibonacci polynomials for stochastic models: existence, stability, and numerical validation
- Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
- Enhanced moving least squares method for solving the stochastic fractional Volterra integro-differential equations of Hammerstein type
- A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance
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