A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions

DOI10.1016/j.jcp.2014.03.064zbMath1349.65711OpenAlexW2031063725MaRDI QIDQ349193

Mohammad Heydari, F. M. Maalek Ghaini, Carlo Cattani, Mohammad Reza Hooshmandasl

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2014.03.064

zbMATH Keywords

Itô integralstochastic operational matrixBrownian motion processgeneralized hat basis functionsstochastic Itô-Volterra integral equations

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Stochastic integral equations (60H20) Random integral equations (45R05)

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