Tau-collocation Method for Linear Stochastic ˆIto-Volterra Integral Equations
الموضوعات :Somayeh Haghayeghi 1 , Fatemeh Mahmoodi 2 , Mehdi Omidvari 3
1 - Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran
2 - Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran
3 - Department of Mathematics, Abarkouh Branch, Islamic Azad University, Abarkouh, Iran
الکلمات المفتاحية: stochastic ˆ ItoVolterra integral equations, Tau-Collocation method, Brownian motion process, Gauss quadrature,
ملخص المقالة :
In this work, we propose a numerical Tau-collocation method for obtaining approximate solutions of linear stochastic ˆIto-Volterra integral equations. The method is based on a combination of the successive approximations method, the Gauss quadrature formulas and ˆIto approximation. The applicability of the present method is investigated through illustrative examples.
