A combination method for numerical solution of the nonlinear stochastic Itô-Volterra integral equation

作者：

Highlights：

• A novel methods are proposed for solving nonlinear stochastic It -Volterra integral equations.

• The schemes can improve the instability of the Lagrange interpolation method when the equidistant nodes are small enough.

• We give rigorous theoretical analysis and convincible numerical examples.

• The proposed method is implemented.

摘要

•A novel methods are proposed for solving nonlinear stochastic It -Volterra integral equations.•The schemes can improve the instability of the Lagrange interpolation method when the equidistant nodes are small enough.•We give rigorous theoretical analysis and convincible numerical examples.•The proposed method is implemented.

论文关键词：Brownian motion,Itô-integral,Stochastic Itô-Volterra integral equations,Barycentric rational interpolation,Picard iteration,Error and convergence analysis

论文评审过程：Received 10 June 2020, Revised 15 April 2021, Accepted 18 April 2021, Available online 9 May 2021, Version of Record 9 May 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126302