Numerical Solution of Nonlinear Stochastic Itô–Volterra Integral Equations Driven by Fractional Brownian Motion Using Block Pulse Functions

Mengting Deng, Guo Jiang, Ting Ke and Shiping Wen

Discrete Dynamics in Nature and Society, 2021, vol. 2021, 1-11

Abstract: This paper presents a valid numerical method to solve nonlinear stochastic Itô–Volterra integral equations (SIVIEs) driven by fractional Brownian motion (FBM) with Hurst parameter H∈1/2,1. On the basis of FBM and block pulse functions (BPFs), a new stochastic operational matrix is proposed. The nonlinear stochastic integral equation is converted into a nonlinear algebraic equation by this method. Furthermore, error analysis is given by the pathwise approach. Finally, two numerical examples exhibit the validity and accuracy of the approach.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:4934658

DOI: 10.1155/2021/4934658

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