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Numerical Solution of Nonlinear Stochastic Itô–Volterra Integral Equations Driven by Fractional Brownian Motion Using Block Pulse Functions
oleh: Mengting Deng, Guo Jiang, Ting Ke
Format: | Article |
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Diterbitkan: | Hindawi Limited 2021-01-01 |
Deskripsi
This paper presents a valid numerical method to solve nonlinear stochastic Itô–Volterra integral equations (SIVIEs) driven by fractional Brownian motion (FBM) with Hurst parameter H∈1/2,1. On the basis of FBM and block pulse functions (BPFs), a new stochastic operational matrix is proposed. The nonlinear stochastic integral equation is converted into a nonlinear algebraic equation by this method. Furthermore, error analysis is given by the pathwise approach. Finally, two numerical examples exhibit the validity and accuracy of the approach.