A numerical method for solving m-dimensional stochastic Itô-Volterra integral equations by stochastic operational matrix

Authors:
K. Maleknejad;M. Khodabin;M. Rostami
Affiliations:
-;-;-
Venue:
Computers & Mathematics with Applications
Year:
2012

Citing 3
Cited 0

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Abstract

The multidimensional Ito-Volterra integral equations arise in many problems such as an exponential population growth model with several independent white noise sources. In this paper, we obtain a stochastic operational matrix of block pulse functions on interval [0,1) to solve m-dimensional stochastic Ito-Volterra integral equations. By using block pulse functions and their stochastic operational matrix of integration, m-dimensional stochastic Ito-Volterra integral equations can be reduced to a linear lower triangular system which can be directly solved by forward substitution. We prove that the rate of convergence is O(h). Furthermore, a 95% confidence interval of the errors' mean is made, the results shows that the approximate solutions have a credible degree of accuracy.