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

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2020年 / 28卷 / 03期

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

页码：209 / 216

页数：8

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