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Numerical Solution of Stochastic Ito-Volterra Integral Equations Using Haar Wavelets

Numerical Solution of Stochastic Ito-Volterra Integral Equations Using Haar Wavelets
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Year:    2016

Numerical Mathematics: Theory, Methods and Applications, Vol. 9 (2016), Iss. 3 : pp. 416–431

Abstract

This paper presents a computational method for solving stochastic Ito-Volterra integral equations. First,  Haar wavelets and their properties are employed to derive a general procedure for forming the stochastic operational matrix of Haar wavelets. Then, application of this stochastic operational matrix for solving stochastic Ito-Volterra integral equations is explained. The convergence and error analysis of the proposed method are investigated. Finally, the efficiency of the presented method is confirmed by some examples.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    English

DOI:    https://doi.org/10.4208/nmtma.2016.m1425

Numerical Mathematics: Theory, Methods and Applications, Vol. 9 (2016), Iss. 3 : pp. 416–431

Published online:    2016-01

AMS Subject Headings:   

Copyright:    COPYRIGHT: © Global Science Press

Pages:    16

Keywords:   

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