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

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
Resource Relation:
Journal Name: Journal of Computational Physics; 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)
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