Numerical Solution of Multidimensional Stochastic Itô-Volterra Integral Equation Based on the Least Squares Method and Block Pulse Function

Ting Ke, Guo Jiang and Mengting Deng

Mathematical Problems in Engineering, 2021, vol. 2021, 1-10

Abstract:

In this paper, a method based on the least squares method and block pulse function is proposed to solve the multidimensional stochastic Itô-Volterra integral equation. The Itô-Volterra integral equation is transformed into a linear algebraic equation. Furthermore, the error analysis is given by the isometry property and Doob’s inequality. Numerical examples verify the effectiveness and precision of this method.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6662604

DOI: 10.1155/2021/6662604

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