Numerical solution of nonlinear stochastic Itô – Volterra integral equation driven by fractional Brownian motion. Issue 9 (14th May 2020)

• Record Type: Journal Article
• Authors: Saha Ray, S.; Singh, S.
• Is Part Of: Engineering computations. Volume 37:Issue 9(2020)
• Page Start: 3243
• Page End: 3268
• Publication Date: 2020-05-14
• Subjects: Bernstein polynomials -- Fractional stochastic Itô–Volterra integral equation -- Itô integral -- Fractional stochastic operational matrix; 60H05 -- 60H20 -- 60H30 -- 60H35; Computer-aided engineering -- Periodicals; Computer graphics -- Periodicals; 620.00285
• DOI: 10.1108/EC-01-2020-0039
• Languages: English
• ISSNs: 0264-4401

Abstract

Abstract : Purpose: This paper aims to study fractional Brownian motion and its applications to nonlinear stochastic integral equations. Bernstein polynomials have been applied to obtain the numerical results of the nonlinear fractional stochastic integral equations. Design/methodology/approach: Bernstein polynomials have been used to obtain the numerical solutions of nonlinear fractional stochastic integral equations. The fractional stochastic operational matrix based on Bernstein polynomial has been used to discretize the nonlinear fractional stochastic integral equation. Convergence and error analysis of the proposed method have been discussed. Findings: Two illustrated examples have been presented to justify the efficiency and applicability of the proposed method. The corresponding obtained numerical results have been compared with the exact solutions to establish the accuracy and efficiency of the proposed method. Originality/value: To the best of the authors' knowledge, nonlinear stochastic Itô–Volterra integral equation driven by fractional Brownian motion has been for the first time solved by using Bernstein polynomials. The obtained numerical results well establish the accuracy and efficiency of the proposed method.