Fast and accurate numerical algorithm for solving stochastic Itô-Volterra integral equations

IF 1.7 3区 数学 Q2 MATHEMATICS, APPLIED
Rebiha Zeghdane
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引用次数: 0

Abstract

The purpose of this paper is to present a simple numerical technique for approximating the solutions of stochastic Volterra integral equations. The proposed method depends on the Picard iteration and uses a suitable quadrature rule. Error estimates and associated theorems have been proved for this proposed technique. Some test examples have been studied to verify the applicability and accuracy of the proposed technique.

Abstract Image

求解随机伊托-伏特拉积分方程的快速准确数值算法
本文旨在介绍一种用于逼近随机 Volterra 积分方程解的简单数值技术。所提出的方法依赖于 Picard 迭代,并使用合适的正交规则。本文证明了所提技术的误差估计和相关定理。研究了一些测试实例,以验证所提技术的适用性和准确性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Numerical Algorithms
Numerical Algorithms 数学-应用数学
CiteScore
4.00
自引率
9.50%
发文量
201
审稿时长
9 months
期刊介绍: The journal Numerical Algorithms is devoted to numerical algorithms. It publishes original and review papers on all the aspects of numerical algorithms: new algorithms, theoretical results, implementation, numerical stability, complexity, parallel computing, subroutines, and applications. Papers on computer algebra related to obtaining numerical results will also be considered. It is intended to publish only high quality papers containing material not published elsewhere.
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