Tau-collocation Method for Linear Stochastic ˆIto-Volterra Integral Equations
محورهای موضوعی : Applied Mathematics
Somayeh Haghayeghi
1
(Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran)
Fatemeh Mahmoodi
2
(Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran)
Mehdi Omidvari
3
(Department of Mathematics, Abarkouh Branch, Islamic Azad University, Abarkouh, Iran)
کلید واژه: stochastic ˆ ItoVolterra integral equations, Tau-Collocation method, Brownian motion process, Gauss quadrature,
چکیده مقاله :
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.
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.
