Numerical solution of stochastic Volterra integral equations based on uniform Haar wavelets by using direct method

Abstract

Nowadays, wavelets have played a crucial role in approximating the solution of a wide range of problems arising in science and engineering. Wavelets have been used in numerous areas of applied mathematics as diverse as signal analysis, statistics, computer-aided geometric, image processing and numerical analysis. The uniform Haar wavelets are most widely used wavelets for solving stochastic integral equations, outperforming Legendre, Daubechies, etc. The uniform Haar wavelets are generated from pairs of piecewise constant functions and can be simply integrated. Furthermore, the uniform Haar functions are orthogonal and form a good transform basis. In this paper, we have proposed an efficient numerical method to solve a class of stochastic linear Volterra integral equations (SLVIEs) based on the uniform Haar wavelets. The aim of this paper is to apply numerical method to obtain approximate solution of SLVIEs. By using this method, the SLVIEs can be reduced to a linear system of algebraic equations. Also, the error analysis of this method is performed. Finally, some numerical examples are given to demonstrate pertinent features of this method. Furthermore, we compare obtained results from this method with the achieved results from relevant studies.