Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
This article proposes an efficient method for solving stochastic Volterra integral equations. By using block pulse functions and their stochastic operational matrix of integration, a stochastic Volterra integral equation can be reduced to a linear lower triangular system, which can be directly solved by forward substitution. The results show that the approximate solutions have a good degree of accuracy. (C) 2011 Elsevier Ltd. All rights reserved.
stochastic volterra integral equations stochastic operational matrix block pulse functions ito integral brownian motion process