Numerical solution of stochastic Itô-Volterra integral equation by using Shifted Jacobi operational matrix method

S. Saha Ray and P. Singh

Applied Mathematics and Computation, 2021, vol. 410, issue C

Abstract: In this paper, a numerical method is implemented to solve the stochastic Itô-Volterra integral equations. In this approach, operational matrices have been applied to reduce the stochastic Itô-Volterra integral equations to linear algebraic equations. Then collocation method is applied to solve the algebraic equations. The error, convergence, and stability analysis of the proposed method are discussed. Also, the steps of the proposed method have been presented in the form of an algorithm. Numerical examples are introduced to confirm the efficiency and reliability of the proposed scheme.

Keywords: Stochastic Itô-Volterra integral equation; Shifted Jacobi polynomial; Collocation method; Operational matrices; Itô integral; Brownian motion; Convergence; Stability (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:410:y:2021:i:c:s0096300321005294

DOI: 10.1016/j.amc.2021.126440

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