Fast and accurate numerical algorithm for solving stochastic Itô-Volterra integral equations

The purpose of this paper is to present a simple numerical technique for approximating the solutions of stochastic Volterra integral equations. The proposed method depends on the Picard iteration and uses a suitable quadrature rule. Error estimates and associated theorems have been proved for this p...

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Published in:Numerical algorithms Vol. 99; no. 2; pp. 809 - 835
Main Author: Zeghdane, Rebiha
Format: Journal Article
Language:English
Published: New York Springer US 01.06.2025
Springer Nature B.V
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ISSN:1017-1398, 1572-9265
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Abstract The purpose of this paper is to present a simple numerical technique for approximating the solutions of stochastic Volterra integral equations. The proposed method depends on the Picard iteration and uses a suitable quadrature rule. Error estimates and associated theorems have been proved for this proposed technique. Some test examples have been studied to verify the applicability and accuracy of the proposed technique.
AbstractList The purpose of this paper is to present a simple numerical technique for approximating the solutions of stochastic Volterra integral equations. The proposed method depends on the Picard iteration and uses a suitable quadrature rule. Error estimates and associated theorems have been proved for this proposed technique. Some test examples have been studied to verify the applicability and accuracy of the proposed technique.
Author Zeghdane, Rebiha
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  organization: Mathematical Analysis and Applications Laboratory, Department of Mathematics, Faculty of Mathematics and Informatics, Mohamed El Bachir El Ibrahimi University of Bordj Bou Arreridj
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Keywords Itô integral
Picard iteration
Quadrature formula
Numerical solution
Stochastic differential equation
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  year: 2013
  ident: 1898_CR37
  publication-title: Alex. Eng. J.
  doi: 10.1016/j.aej.2013.02.004
– volume: 53
  start-page: 1098
  year: 2012
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  publication-title: Comput. Math. Appl.
  doi: 10.1016/j.camwa.2006.05.030
– volume: 36
  start-page: 1023
  year: 2012
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  publication-title: Appl. Math. Model.
  doi: 10.1016/j.apm.2011.07.061
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Snippet The purpose of this paper is to present a simple numerical technique for approximating the solutions of stochastic Volterra integral equations. The proposed...
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SubjectTerms Algebra
Algorithms
Approximation
Banach spaces
Computer Science
Integral equations
Iterative methods
Numeric Computing
Numerical Analysis
Original Paper
Picard iterations
Quadratures
Random variables
Stochastic models
Theory of Computation
Volterra integral equations
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Title Fast and accurate numerical algorithm for solving stochastic Itô-Volterra integral equations
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