A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations

DOI10.1016/j.amc.2014.09.047zbMath1338.65287OpenAlexW2060621903MaRDI QIDQ297861

Elham Hadadiyan, Farshid Mirzaee

Publication date: 17 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.09.047

zbMATH Keywords

error analysiscollocationstochasticoperational matricesdelta functionsvector forms

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Random integral equations (45R05)

Related Items (26)

Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations ⋮ A computational method for solving nonlinear stochastic Volterra integral equations ⋮ Exact solutions and numerical simulations of time-fractional Fokker-Plank equation for special stochastic process ⋮ Oversampling collocation method for the Volterra integral equation with contaminated data ⋮ Convergence and Mean-Square Stability of Exponential Euler Method for Semi-Linear Stochastic Delay Integro-Differential Equations ⋮ Strong Convergence of the Euler-Maruyama Method for Nonlinear Stochastic Volterra Integral Equations with Time-Dependent Delay ⋮ Numerical solution of two-dimensional stochastic Fredholm integral equations on hypercube domains via meshfree approach ⋮ Strong convergence of the Euler-Maruyama method for nonlinear stochastic convolution Itô-Volterra integral equations with constant delay ⋮ Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations ⋮ An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations ⋮ A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms ⋮ A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations ⋮ NUMERICAL SOLUTION OF PERSISTENT PROCESSES-BASED FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion ⋮ Shifted Legendre spectral collocation technique for solving stochastic Volterra-Fredholm integral equations ⋮ Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion ⋮ Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion ⋮ Unnamed Item ⋮ Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations ⋮ Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method ⋮ Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations ⋮ A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation ⋮ Split-step collocation methods for stochastic Volterra integral equations ⋮ Numerical solution of stochastic integral equations by using Bernoulli operational matrix ⋮ Strong convergence of the semi-implicit Euler method for nonlinear stochastic Volterra integral equations with constant delay ⋮ Collocation methods for nonlinear stochastic Volterra integral equations

Cites Work

• Unnamed Item
• Unnamed Item
• One linear analytic approximation for stochastic integrodifferential equations
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• Triangular functions (TF) method for the solution of nonlinear Volterra-Fredholm integral equations
• Stochastic Volterra equations in Banach spaces and stochastic partial differential equation
• A survey of numerical methods for stochastic differential equations
• Successive approximations for solutions of second order stochastic integrodifferential equations of Ito type
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
• Using triangular orthogonal functions for solving Fredholm integral equations of the second kind
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
• Numerical solution of nonlinear Volterra-Fredholm integro-differential equations via direct method using triangular functions
• A new set of orthogonal functions and its application to the analysis of dynamic systems
• Volterra equations driven by semimartingales
• Simulation of stochastic differential equations
• Stochastic Volterra equations with singular kernels
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Numerical solution of a class of two-dimensional nonlinear Volterra integral equations using Legendre polynomials
• Mean square numerical solution of random differential equations: Facts and possibilities
• Numerical solution of random differential equations: a mean square approach
• Backward stochastic Volterra integral equations and some related problems
• Stochastic Volterra equations with anticipating coefficients
• Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
• NON-LIPSCHITZ BACKWARD STOCHASTIC VOLTERRA TYPE EQUATIONS WITH JUMPS
• Regularity properties of some stochastic Volterra integrals with singular kernel

This page was built for publication: A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations