An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
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Publication:679576
DOI10.1016/J.CAM.2017.09.035zbMATH Open1380.65019OpenAlexW2768331096MaRDI QIDQ679576FDOQ679576
Authors: Juan-Miguel Gracia 
Publication date: 11 January 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.09.035
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numerical examplesstochastic Volterra integral equationssuccessive approximations methodBrownian motion processlinear spline interpolationItô integral
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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Cited In (40)
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- Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
- Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
- A novel operational matrix method based on Genocchi polynomials for solving \(n\)-dimensional stochastic Itô-Volterra integral equation
- Application of fixed point theorem on the study of the existence of solutions in some fractional stochastic functional integral equations
- Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations
- A numerical technique for solving nonlinear fractional stochastic integro-differential equations with \(n\)-dimensional Wiener process
- Numerical solution of nonlinear stochastic Itô-Volterra integral equation by stochastic modified hat function operational matrices
- Extension of Darbo fixed-point theorem to illustrate existence of the solutions of some nonlinear functional stochastic integral equations
- ADM-TF hybrid method for nonlinear Itô-Volterra integral equations
- A computational method for solving nonlinear stochastic Volterra integral equations
- Numerical solution of Itô-Volterra integral equations by the QR factorization method
- Application of DJ method to Itô stochastic differential equations
- Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme
- An interpolation-based method for solving Volterra integral equations
- An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
- Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- Piecewise barycentric interpolating functions for the numerical solution of Volterra integro‐differential equations
- A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
- Least square method based on Haar wavelet to solve multi-dimensional stochastic Itô-Volterra integral equations
- A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation
- Convergence analysis of an iterative algorithm to solve system of nonlinear stochastic Itô‐Volterra integral equations
- Numerical approach for solving nonlinear stochastic Itô-Volterra integral equations using shifted Legendre polynomials
- Hybrid collocation method for some classes of second-kind nonlinear weakly singular integral equations
- Two reliable methods for numerical solution of nonlinear stochastic Itô-Volterra integral equation
- Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
- Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- A new numerical algorithm based on least squares method for solving stochastic Itô-Volterra integral equations
- An efficient cubic B-spline and bicubic B-spline collocation method for numerical solutions of multidimensional nonlinear stochastic quadratic integral equations
- Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
- Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
- Numerical solution of Itô-Volterra integral equation by least squares method
- Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
- Title not available (Why is that?)
- Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
- A numerical method for solving stochastic linear quadratic problem with a finance application
- Accurate and stable numerical method based on the Floater-Hormann interpolation for stochastic Itô-Volterra integral equations
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