# A wavelet-based computational method for solving stochastic Itô–Volterra integral equations

## Abstract

This paper presents a computational method based on the Chebyshev wavelets for solving stochastic Itô–Volterra integral equations. First, a stochastic operational matrix for the Chebyshev wavelets is presented and a general procedure for forming this matrix is given. Then, the Chebyshev wavelets basis along with this stochastic operational matrix are applied for solving stochastic Itô–Volterra integral equations. Convergence and error analysis of the Chebyshev wavelets basis are investigated. To reveal the accuracy and efficiency of the proposed method some numerical examples are included.

- Authors:

- Publication Date:

- OSTI Identifier:
- 22465661

- Resource Type:
- Journal Article

- Journal Name:
- Journal of Computational Physics

- Additional Journal Information:
- Journal Volume: 298; Other Information: Copyright (c) 2015 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA); Journal ID: ISSN 0021-9991

- Country of Publication:
- United States

- Language:
- English

- Subject:
- 71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; ACCURACY; CONVERGENCE; ERRORS; MATRICES; POLYNOMIALS; STOCHASTIC PROCESSES; VOLTERRA INTEGRAL EQUATIONS

### Citation Formats

```
Mohammadi, Fakhrodin, E-mail: f.mohammadi@hormozgan.ac.ir.
```*A wavelet-based computational method for solving stochastic Itô–Volterra integral equations*. United States: N. p., 2015.
Web. doi:10.1016/J.JCP.2015.05.051.

```
Mohammadi, Fakhrodin, E-mail: f.mohammadi@hormozgan.ac.ir.
```*A wavelet-based computational method for solving stochastic Itô–Volterra integral equations*. United States. doi:10.1016/J.JCP.2015.05.051.

```
Mohammadi, Fakhrodin, E-mail: f.mohammadi@hormozgan.ac.ir. Thu .
"A wavelet-based computational method for solving stochastic Itô–Volterra integral equations". United States. doi:10.1016/J.JCP.2015.05.051.
```

```
@article{osti_22465661,
```

title = {A wavelet-based computational method for solving stochastic Itô–Volterra integral equations},

author = {Mohammadi, Fakhrodin, E-mail: f.mohammadi@hormozgan.ac.ir},

abstractNote = {This paper presents a computational method based on the Chebyshev wavelets for solving stochastic Itô–Volterra integral equations. First, a stochastic operational matrix for the Chebyshev wavelets is presented and a general procedure for forming this matrix is given. Then, the Chebyshev wavelets basis along with this stochastic operational matrix are applied for solving stochastic Itô–Volterra integral equations. Convergence and error analysis of the Chebyshev wavelets basis are investigated. To reveal the accuracy and efficiency of the proposed method some numerical examples are included.},

doi = {10.1016/J.JCP.2015.05.051},

journal = {Journal of Computational Physics},

issn = {0021-9991},

number = ,

volume = 298,

place = {United States},

year = {2015},

month = {10}

}

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