TITLE:
Numerical Solution of Two-Dimensional Nonlinear Stochastic Itô-Volterra Integral Equations by Applying Block Pulse Functions
AUTHORS:
Guo Jiang, Xiaoyan Sang, Jieheng Wu, Biwen Li
KEYWORDS:
Block Pulse Functions, Integration Operational Matrix, Stochastic Itô-Volterra Integral Equations
JOURNAL NAME:
Advances in Pure Mathematics,
Vol.9 No.2,
February
14,
2019
ABSTRACT: This paper investigates the
numerical solution of two-dimensional nonlinear stochastic Itô-Volterra
integral equations based on block pulse functions. The nonlinear stochastic
integral equation is transformed into a set of algebraic equations by
operational matrix of block pulse functions. Then, we give error analysis and
prove that the rate of convergence of this method is efficient. Lastly, a
numerical example is given to confirm the method.