Accurate and stable numerical method based on the Floater-Hormann interpolation for stochastic Itô-Volterra integral equations

DOI10.1007/S11075-023-01500-5zbMATH Open1523.65104OpenAlexW4321610529MaRDI QIDQ6133897FDOQ6133897

Authors: Farshid Mirzaee, Shiva Naserifar, Erfan Solhi 

Publication date: 21 August 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-023-01500-5

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zbMATH Keywords

Brownian motionapproximation by rational functionsspectral collocation methodstochastic Itô integral equations

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Stochastic integral equations (60H20) Spectral, collocation and related (meshless) methods applied to problems in statistical mechanics (82M22)

Cited In (2)

• A new numerical algorithm based on least squares method for solving stochastic Itô-Volterra integral equations
• Lagrange interpolation polynomials for solving nonlinear stochastic integral equations

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