Numerical Solution of Multidimensional Stochastic Itô-Volterra Integral Equation Based on the Least Squares Method and Block Pulse Function-Reference-Cited by-同舟云学术

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

Published:2021-02-24 Issue: Volume:2021 Page:1-10
ISSN:1563-5147
Container-title:Mathematical Problems in Engineering
language:en
Short-container-title:Mathematical Problems in Engineering

Author:

Ke Ting¹^ORCID,Jiang Guo¹^ORCID,Deng Mengting¹^ORCID

Affiliation:

1. School of Mathematics and Statistics, Hubei Normal University, Huangshi 435002, Hubei, China

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.

Funder

Natural Science Foundation of Hubei Province

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Link

http://downloads.hindawi.com/journals/mpe/2021/6662604.pdf

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