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Farshid Mirzaee

Farshid Mirzaee

Academic rank: Professor
ORCID: 0000-0002-1429-2548
Education: PhD.
ScopusId: 6508385954
HIndex: 34/00
Faculty: Mathematical Sciences and Statistics
Address: Faculty of Mathematical Sciences and Statistics, Department of Applied Mathematics, Malayer University, 4 Km Malayer-Arak Road, P. O. Box 65719-95863, Malayer, Iran.
Phone: +98 - 81 - 32457459

Research

Title
Accurate and stable numerical method based on the Floater-Hormann interpolation for stochastic It ˆo-Volterra integral equations
Type
JournalPaper
Keywords
Stochastic Itˆo integral equations, Spectral collocation method , Brownian motion, Approximation by rational functions
Year
2023
Journal NUMERICAL ALGORITHMS
DOI
Researchers Farshid Mirzaee

Abstract

In various fields of science and engineering, such as financial mathematics, math- ematical physics models, and radiation transfer, stochastic integral equations are important and practical tools for modeling and describing problems. Due to the exis- tence of random factors, we face a fundamental problem in solving stochastic integral equations, and that is the lack of analytical solutions or the great complexity of these solutions. Therefore, finding an efficient numerical solution is essential. In this paper, we intend to propose and study a new method based on the Floater-Hormann interpolation and the spectral collocation method for linear and nonlinear stochas- tic Itˆo-Volterra integral equations (SVIEs). The Floater-Hormann interpolation offers an approximation regardless of the distribution of the points. Therefore, this method can be mentioned as a meshless method. The presented method reduces SVIEs under consideration into a system of algebraic equations that can be solved by the appropri- ate method. We presented an error bound to be sure of the convergence and reliability of the method. Finally, the efficiency and the applicability of the present scheme are investigated through some numerical experiments.