Article ID Journal Published Year Pages File Type
4639908 Journal of Computational and Applied Mathematics 2011 10 Pages PDF
Abstract

An improved version of rectangular method (IRM) is introduced in this paper to numerically solve the stochastic Volterra equation (SVE). We focus on studying the order of error between the numerical and exact solutions, which is improved to O(h)O(h). Furthermore, an explicit form of the IRM scheme is introduced and its convergence is established. A numerical example has also been presented to show the feasibility of the methods.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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