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Numerical Solution of Multidimensional Stochastic Ito-Volterra Integral Equation Based on the Least Squares Method and Block Pulse Function

机译:Numerical Solution of Multidimensional Stochastic Ito-Volterra Integral Equation Based on the Least Squares Method and Block Pulse Function

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摘要

In this paper, a method based on the least squares method and block pulse function is proposed to solve the multidimensional stochastic Ito-Volterra integral equation. The Ito-Volterra integral equation is transformed into a linear algebraic equation. Furthermore, the error analysis is given by the isometry property and Doob's inequality. Numerical examples verify the effectiveness and precision of this method.

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