New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion
S. Saha Ray, Soumyendra Singh
Abstract
In this paper, stochastic integral equations characterized by fractional Brownian motion have been studied. The fractional stochastic integral equation has been solved by second kind Chebyshev wavelets. The convergence and error analysis have been discussed for the efficiency of the discussed method. In addition, two illustrative examples have been solved to examine the efficiency and accuracy of the proposed scheme.
Topics & Concepts
MathematicsFractional Brownian motionChebyshev filterGeometric Brownian motionVolterra integral equationIntegral equationBrownian motionApplied mathematicsStratonovich integralConvergence (economics)Fractional calculusMathematical analysisStochastic processMatrix (chemical analysis)WaveletDiffusion processSingular integralRiemann integralEconomic growthArtificial intelligenceComposite materialKnowledge managementEconomicsMaterials scienceComputer scienceInnovation diffusionStatisticsFractional Differential Equations SolutionsStatistical Distribution Estimation and ApplicationsNonlinear Differential Equations Analysis