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Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion
Author(s) -
Mirzaee Farshid,
Samadyar Nasrin
Publication year - 2017
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.4671
Subject(s) - mathematics , nonlinear system , algebraic equation , fractional brownian motion , integral equation , volterra integral equation , collocation method , mathematical analysis , convergence (economics) , fractional calculus , numerical analysis , brownian motion , differential equation , ordinary differential equation , statistics , physics , quantum mechanics , economic growth , economics
In this paper, an efficient numerical technique is applied to provide the approximate solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion with Hurst parameter H ∈ ( 1 2 , 1 ) . The proposed method is based on the operational matrices of modification of hat functions (MHFs) and the collocation method. In this approach, by approximating functions that appear in the integral equation by MHFs and using Newton's‐Cotes points, nonlinear integral equation is transformed to nonlinear system of algebraic equations. This nonlinear system is solved by using Newton's numerical method, and the approximate solution of integral equation is achieved. Some theorems related to error estimate and convergence analysis of the suggested scheme are also established. Finally, 2 illustrative examples are included to confirm applicability, efficiency, and accuracy of the proposed method. It should be noted that this scheme can be used to solve other appropriate problems, but some modifications are required.