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

Journal Article · Thu Oct 01 00:00:00 EDT 2015 · Journal of Computational Physics

DOI:https://doi.org/10.1016/J.JCP.2015.05.051· OSTI ID:22465661

Mohammadi, Fakhrodin

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.

• OSTI ID: 22465661
• Journal Information: Journal of Computational Physics, Vol. 298; Other Information: Copyright (c) 2015 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA); ISSN 0021-9991
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
ACCURACY
CONVERGENCE
ERRORS
MATRICES
POLYNOMIALS
STOCHASTIC PROCESSES
VOLTERRA INTEGRAL EQUATIONS