A EFFICIENT COMPUTATIONAL METHOD FOR SOLVING STOCHASTIC ITÖ-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 Itˆo-Voltera integral equations. Convergence and error analysis of the Legendre wavelets basis are investigated. To reveal the accuracy and efficiency of the proposed method some numerical examples are included.