Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions

Abstract This article proposes an efficient method for solving stochastic Volterra integral equations. By using block pulse functions and their stochastic operational matrix of integration, a stochastic Volterra integral equation can be reduced to a linear lower triangular system, which can be directly solved by forward substitution. The results show that the approximate solutions have a good degree of accuracy.

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