scientific article; zbMATH DE number 176816

MaRDI QIDQ4036649zbMATH OpenFDO

Authors Athena Makroglou

Publication date 18 May 1993

zbMATH Keywords

stochastic collocation methodstochastic integralstochastic Volterra integro-differential equationWiener processÎto integral

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stochastic integral equations (60H20) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for integral equations (65R20)

Review text

[For the entire collection see Zbl 0754.00007.] A stochastic Volterra integro-differential equation of the type \[ y'(t)=f(t,y(t))+\int_ 0^ t K(t,s,y(s))ds+\int_ 0^ t P(t,s,y(s))dW(s), \] \(y(0)=y_ 0\), \(t\in[0,T]\), is solved by collocation methods, where the stochastic integral is an Îto integral as to a standard Wiener process.

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(4)

• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Numerical methods for a class of linear stochastic Volterra integral equations
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• Cubature Method for Stochastic Volterra Integral Equations

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