Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion

DOI10.1007/S00009-016-0820-7MaRDI QIDQ523653zbMATH OpenOpenAlexFDO

Authors B. Hashemi, Morteza Khodabin, Khosrow Maleknejad

Publication date 21 April 2017

Published in Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00009-016-0820-7

zbMATH Keywords

hat functionsBrownian and fractional Brownian motion processnonlinear stochastic Itô Volterra integral equations

Mathematics Subject Classification ID

Brownian motion (60J65) Volterra integral equations (45D05) Other nonlinear integral equations (45G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cites work

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Cited in

(23)

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• Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions
• Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions
• Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• Numerical solutions of distributed order fractional differential equations in the time domain using the Müntz–Legendre wavelets approach
• 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
• An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
• Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations
• Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
• Chelyshkov least squares support vector regression for nonlinear stochastic differential equations by variable fractional Brownian motion
• Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics
• Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks
• Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
• An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
• A novel and efficient operational matrix for solving nonlinear stochastic differential equations driven by multi-fractional Gaussian noise
• Two-dimensional Jacobi pseudospectral quadrature solutions of two-dimensional fractional Volterra integral equations
• A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion
• The invertibility of \(U\)-fusion cross Gram matrices of operators
• Numerical solution of nonlinear stochastic Itô-Volterra integral equations based on Haar wavelets
• Numerical solution of nonlinear stochastic Itô-Volterra integral equation by stochastic modified hat function operational matrices
• Numerical solution of Itô-Volterra integral equations by the QR factorization method

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