Numerical solution of stochastic Itô-Volterra integral equation by using Shifted Jacobi operational matrix method
作者：
Highlights：
• A novel numerical approach for solving SIVIE has been proposed first time ever.
• Operational matrices are used to transform the SIVIE into a system of algebraic equations.
• Resultant system of algebraic equations has been solved by the collocation method.
• This technique has the advantage of being simple to implement.
• Error estimate, convergence, and stability analysis are also established.
摘要
•A novel numerical approach for solving SIVIE has been proposed first time ever.•Operational matrices are used to transform the SIVIE into a system of algebraic equations.•Resultant system of algebraic equations has been solved by the collocation method.•This technique has the advantage of being simple to implement.•Error estimate, convergence, and stability analysis are also established.
论文关键词：Stochastic Itô-Volterra integral equation,Shifted Jacobi polynomial,Collocation method,Operational matrices,Itô integral,Brownian motion,Convergence,Stability
论文评审过程：Received 30 April 2021, Revised 3 June 2021, Accepted 7 June 2021, Available online 30 June 2021, Version of Record 30 June 2021.
论文官网地址：https://doi.org/10.1016/j.amc.2021.126440
