Numerical Solution of Nonlinear Backward Stochastic Volterra Integral Equations

Numerical Solution of Nonlinear Backward Stochastic Volterra Integral Equations

This work uses the collocation approximation method to solve a specific type of backward stochastic Volterra integral equations (BSVIEs). Using Newton’s method, BSVIEs can be solved using block pulse functions and the corresponding stochastic operational matrix of integration. We present examples to...

Full description

Bibliographic Details
Main Authors: Mahvish Samar, Edwin Yao Kutorzi, Xinzhong Zhu
Format: Article
Language:English
Published: MDPI AG 2023-09-01
Series:Axioms
Subjects:
backward stochastic volterra integral equations
block-pulse functions
collocation approximation
operational matrix
Online Access:https://www.mdpi.com/2075-1680/12/9/888

Internet

https://www.mdpi.com/2075-1680/12/9/888

Similar Items