Numerical Solution Based on Hat Functions for Solving Nonlinear Stochastic Itô Volterra Integral Equations Driven by Fractional Brownian Motion

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• 作者：B. Hashemi ; M. Khodabin ; K. Maleknejad
• 关键词：Brownian and fractional Brownian motion process ; Stochastic integral equation ; Hat functions
• 刊名：Mediterranean Journal of Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：14
• 期：1
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics, general;
• 出版者：Springer International Publishing
• ISSN：1660-5454
• 卷排序：14

文摘

This paper presents a numerical method for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion with Hurst parameter \( H \in (0,1)\) via of hat functions. Using properties of the generalized hat basis functions and fractional Brownian motion, new stochastic operational matrix of integration is achieved and the nonlinear stochastic equation is transformed into nonlinear system of algebraic equations which by solving it, an approximation solution with high accuracy is obtained. In addition, error analysis of the method is investigated, and by some examples, efficiency and accuracy of the suggested method are shown.