On numerical solutions to stochastic Volterra equations
Probability
2007-05-23 v2 Numerical Analysis
Abstract
The aim of the paper is to demonstrate the use of the Galerkin method for some kind of Volterra equations, determininistic and stochastic as well. The paper consists of two parts: the theoretical and numerical one. In the first part we recall some apparently well-known results concerning the Volterra equations under consideration. In the second one we describe a numerical algorithm used and next present some examples of numerical solutions in order to illustrate the pertinent features of the technique used in the paper.
Cite
@article{arxiv.math/0409026,
title = {On numerical solutions to stochastic Volterra equations},
author = {Anna Karczewska and Piotr Rozmej},
journal= {arXiv preprint arXiv:math/0409026},
year = {2007}
}
Comments
17 pages with 6 figures. Extended version of the talk given at {\sc International Congress on Computational and Applied Mathematics}, Leuven, July 26-30, 2004 (ICCAM-2004). Few corrections introduced and misprints corrected