A Efficient Computational Method for Solving Stochastic Itô-Volterra Integral Equations

Abstract

In this paper, a new stochastic operational matrix for the Legendre wavelets is presented and a general procedure for forming this matrix is given. A computational method based on this stochastic operational matrix is proposed for solving stochastic It^o-Voltera integral equations. Convergence and error analysis of the Legendre wavelets basis are investigated. To reveal the accuracy and eciency of the proposed method some numerical examples are included.

Keywords

• Legendre wavelets,It^o integral,Stochastic operational matrix,Stochastic It^o-Volterra integral equations.

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