A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Ito Volterra integral equations

被引:2
|
作者
Singh, S. [1 ]
Ray, S. Saha [1 ]
机构
[1] Natl Inst Technol, Dept Math, Rourkela 769008, India
关键词
Ito integral; stochastic operational matrix; multi-dimensional stochastic integral equations; hybrid Legendre block-pulse functions; multi-dimensional Brownian motion; BLOCK-PULSE FUNCTIONS; HYBRID LEGENDRE;
D O I
10.1515/rose-2020-2040
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this article, hybrid Legendre block-pulse functions are implemented in determining the approximate solutions for multi-dimensional stochastic Ito-Volterra integral equations. The block-pulse function and the proposed scheme are used for deriving a methodology to obtain the stochastic operational matrix. Error and convergence analysis of the scheme is discussed. A brief discussion including numerical examples has been provided to justify the efficiency of the mentioned method.
引用
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页码:209 / 216
页数:8
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