Author(s)

Guo Jiang, Xiaoyan Sang^*, Jieheng Wu, Biwen Li

School of Mathematics and Statistics, Hubei Normal University, Huangshi, China.

This paper investigates the numerical solution of two-dimensional nonlinear stochastic Itô-Volterra integral equations based on block pulse functions. The nonlinear stochastic integral equation is transformed into a set of algebraic equations by operational matrix of block pulse functions. Then, we give error analysis and prove that the rate of convergence of this method is efficient. Lastly, a numerical example is given to confirm the method.

Block Pulse Functions, Integration Operational Matrix, Stochastic Itô-Volterra Integral Equations

Jiang, G. , Sang, X. , Wu, J. and Li, B. (2019) Numerical Solution of Two-Dimensional Nonlinear Stochastic Itô-Volterra Integral Equations by Applying Block Pulse Functions. Advances in Pure Mathematics, 9, 53-66. doi: 10.4236/apm.2019.92004.