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13 (2016), 26132631

DOI 10.1007/s00009-015-0642-z

1660-5446/16/052613-19

published online October 17, 2015

c Springer Basel 2015

Method for Stochastic It

o-Volterra Integral

Equations

Fakhrodin Mohammadi

the stochastic operational matrix of second kind Chebyshev wavelet is

proposed for solving stochastic It

o-Volterra integral equations. Conver-

gence and error analysis of the presented wavelets method are inves-

tigated. The numerical results are compared with exact solution and

those of other existing methods.

Mathematics Subject Classification. 65T60, 45L05, 60H20.

Keywords. Second kind Chebyshev wavelets, It o integral, Stochastic

operational matrix, Stochastic It

o-Volterra integral equations.

1. Introduction

Recently, the topic of stochastic dierential and integral equations has been

an area of active research in mathematics, uid mechanics, geophysics, biol-

ogy, chemistry, epidemiology, microelectronics, theoretical physics, econom-

ics, and nance. The behavior of dynamical systems in these areas is often

dependent on a noise source and a Gaussian white noise, governed by cer-

tain probability laws, so that modeling such phenomena naturally requires

the use of various stochastic dierential equations or, in more complicated

cases, stochastic integral equations and stochastic integro-dierential equa-

tions. Since analytic solutions of stochastic integral and dierential equations

are not available in many cases, numerical approximation becomes a prac-

tical way to face this diculty. Many studies have been carried out on the

problem of approximating the solution of stochastic integral and dierential

equations [114].

In the recent years, many orthogonal basis functions, such as block

pulse functions, Walsh functions, Fourier series, orthogonal polynomials and

wavelets, were used to estimate solution of functional equations. As a pow-

erful tool, wavelets have found their way into many dierent elds of science

2614 F. Mohammadi MJOM

functions and operators. Moreover, wavelets establish a connection with fast

numerical algorithms [1517]. Several wavelets methods have been used for

approximating solution of the integral equations and dierential equations

[1826].

Recently, numerical solution of stochastic functional equations becomes

an interesting subject in numerical analysis [414]. In this paper, we consider

the following stochastic Volterra integral equation

t t

X(t) = f (t) + a (s, X(s)) ds + (s, X(s)) dB(s), t [0, T ), (1)

0 0

where X(t), f (t), a (t, X(t)) and (t, X(t)), for t [0, T ), are stochas-

tic processes dened on the same probability space (, F, P ), and X(t) is

t

unknown. Also B(t) is a Brownian motion process and 0 (s, X(s)) dB(s)

is the It

o integral. Many researchers study the numerical solution of this kind

of stochastic integral equation. The block pulse functions and their stochas-

tic operational matrix are used for solving stochastic It o-Volterra integral

equations in [4]. Khodabin et al. [6] have proposed a computational method

based on Triangular functions and their operational matrix for solving sto-

chastic Ito-Volterra integral equations. In [7] and [8], the generalized hat basis

functions and their operational matrix are used for numerical solution of sto-

chastic Ito-Volterra integral equations. Mohammadi [9] has been presented

a computational method based on the Chebyshev wavelets for solving sto-

chastic Ito-Volterra integral equations. Asgari et al. [11] have used Bernstein

polynomials and their operational matrices for solving nonlinear stochastic

integral equation. To compute the approximate solution of stochastic It o-

Volterra integral Eq. (1) the second kind Chebyshev wavelets are introduced,

then an stochastic operational matrix for these orthogonal wavelets is derived.

Using this stochastic operational matrix a computational method is proposed

for solving stochastic Ito-Volterra integral equations.

The rest of this paper is organized as follows: in Sect. 2 some basic def-

initions and preliminaries about stochastic process and It o integral are pre-

sented. The second kind Chebyshev wavelets and their properties are intro-

duced in Sect. 3. In Sect. 4 stochastic operational matrix of the second kind

Chebyshev wavelets are derived. Section 5 is devoted to applications of this

stochastic operational matrix in solving stochastic It o-Volterra integral equa-

tions. Convergence analysis of the proposed method is considered in Sect. 6.

Numerical examples are included in Sect. 7. Finally, a conclusion is given in

Sect. 8.

2. Preliminaries

In this section, we review some basic denition of the stochastic calculus and

the block pulse functions (BPFs).

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2615

Definition 1 (Brownian motion process). A real-valued stochastic process

B(t), t [0, T ] is called Brownian motion, if it satises the following proper-

ties

(i) The process has independent increments for 0 t0 t1 tn T ,

(ii) For all t 0, B(t + h) B(t) has Normal distribution with mean 0 and

variance h,

(iii) The function t B(t) is continuous functions of t.

Definition 2. Let {Nt }t0 be an increasing family of -algebras of subsets of

. A process g(t, ) : [0, ) Rn is called Nt -adapted if for each t 0

the function g(t, ) is Nt -measurable.

Definition 3. Let V = V(S, T ) be the class of functions f (t, ) : [0, )

R such that

(i) The function (t, ) f (t, ) is B F-measurable, where B denotes the

Borel algebra on [0, ) and F is the -algebra on .

(ii) f is adapted to Ft , where Ft is the -algebra generated by the random

variables

B(s), s t.

T 2

(iii) E S f (t, )dt < .

Definition 4 (The It o integral of f is

dened by

T T

f (t, )dBt () = lim n (t, )dBt (), (lim in L2 (P ))

n

S S

T

2

E (f (t, ) n (t, )) dt 0, asn .

s

Definition 5 (The It

2 T

T

E f (t, )dB() = E f 2 (t, )dt .

S S

BPFs have been studied by many authors and applied for solving dierent

problems. In this section, we recall denitions and some properties of the

block pulse functions [4,30].

The m-set of BPFs are dened as

1 (i 1)h t < ih,

bi (t) =

0 otherwise,

2616 F. Mohammadi MJOM

T

in which t [0, T ), i = 1, 2, . . . , m and h = m. The BPFs are disjointed with

each other in the interval [0, T ) and

bi (t)bj (t) = ij bi (t), i, j = 1, 2, . . . , m,

where ij is the Kronecker delta. The set of BPFs dened in the interval

[0, T ) are orthogonal with each other, that is

T

bi (t)bj (t)dt = hij , i, j = 1, 2, . . . , m.

0

real bounded function f (t), which is square integrable in the interval [0, T ),

can be expanded into a block pulse series as

m

f (t) fi bi (t), (2)

i=1

where

T

1

fi = bi (t)f (t)dt, i = 1, 2, . . . , m.

h

0

m

f (t) fi bi (t) = F T (t) = T (t)F, (3)

i=1

in which

T T

F = [f1 , f2 , . . . , fm ] , (t) = [b1 (t), b2 (t), . . . , bm (t)] .

Moreover, any two-dimensional function k(s, t) L2 ([0, T1 ] [0, T2 ]) can be

expanded with respect to BPFs such as

k(s, t) = T (t)(t),

where (t) is the m-dimensional BPFs vector, respectively, and is the

m m BPFs coecient matrix with (i, j)th element

T1 T2

1

ij = k(s, t)bi (t)bj (s)dtds, i, j = 1, . . . , m

h1 h2

0 0

T1 T2

and h1 = m and h2 = m. Let (t) be the BPFs vector, then we have

T (t)(t) = 1,

and

b1 (t) 0 ... 0

.. ..

0 b2 (t) . .

(t)T (t) =

.

.

.. .. ..

. . 0

0 ... 0 bm (t) mm

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2617

(t)T (t)F = F (t), (4)

where F is an m m matrix, and F = diag(F ).

Wavelets constitute a family of functions constructed from dilation and trans-

lation of a single function called the mother wavelet. When the dilation

parameter a and the translation parameter b vary continuously, we have the

following family of continuous wavelets

12 tb

a,b (t) = a , a, b R, a = 0.

a

The second kind Chebyshev wavelets nm (x) are dened on the interval [0, 1)

by [2729]

k +1

22

Um 2k+1 t 2n 1 , 2nk t n+1

2k

nm (t) =

0, otherwise

where Um (t) is the second kind Chebyshev polynomials of degree m, given

by [31]

sin ((m + 1))

Um (t) = , t = cos().

sin()

The second kind Chebyshev wavelets {nm (t)|n = 0, 1, . . . , 2k 1, m =

0, 1, 2, . . . , M 1} forms an orthonormal basis for L2wnk [0, 1] with respect to

the weight function wnk (t) = w 2k+1 t 2n 1 , in which w(t) = 1 t2 .

Using the orthonormality of the second kind Chebyshev wavelets, any

function f (t) over [0, 1); square integrable with respect to the measure w(t)dt;

with w(t) = wnk (t); for 2nk t n+1 ; and wnk (t) = w(2k+1 t 2n + 1); being

2k

w(t) = 1 t2 can be expanded in terms of the second kind Chebyshev

wavelets as

f (t) cmn mn (t), (5)

n=0 m=0

where cmn = (f (t), mn (t))wnk and (., .)wnk denotes the inner product on

L2wnk [0, 1]. If the innite series in (5) is truncated, then it can be written as

k

2 1 M

1

f (t) cmn mn (x) = C T (t), (6)

n=0 m=0

T

C = c00 , . . . , c0(M 1) , c10 . . . , c1(M 1) , . . . , c(2k 1)(M 1) ,

T

(x) = 00 (t), . . . , 0(M 1) (t), 10 (t) . . . , 1(M 1) (t), . . . , (2k 1)(M 1) (t) .

2618 F. Mohammadi MJOM

By changing indices in the vectors (t) and C the series (6) can be rewritten

as

m

f (t) ci i (t) = C T (t), (7)

i=1

where

T T

C = [c1 , c2 , . . . , cm

] , (x) = [1 (x), 2 (x), . . . , m

(x)] , (8)

and

ci = cnm , i (t) = nm (t), i = (n 1)M + m + 1.

Similarly, any two-dimensional function k(s, t) L2w w ([0, 1] [0, 1]) can be

expanded into second kind Chebyshev wavelets basis as

m

m

k(s, t) kij i (s)j (t) = T (s)K(t), (9)

i=1 j=1

m

where K = [kij ] is an m matrix and kij = i (s), (k(s, t), j (t))wnk .

wnk

In this section, we will review the relation between the second kind Chebyshev

wavelets and BPFs. It is worth mention that here we set T = 1 in denition

of BPFs.

Theorem 3.1. Let (t) and (t) be the m-dimensional

second kind Chebyshev

wavelets and BPFs vector, respectively, the vector (t) can be expanded by

BPFs vector (t) as

(t) Q(t), (10)

m

where Q is an m block matrix and

2j 1

Qij = i , i, j = 1, 2, . . . , m.

2m

Proof. Let i (t), i = 1, 2, . . . , m

be the ith element of second kind Chebyshev

wavelets vector. Expanding i (t) into an m-term vector of BPFs, we have

m

i (t) Qik bk (t), i = 1, 2, . . . , m,

(11)

k=1

2j1

taking the collocation points j = 2m

and evaluating relation (11) we get

m

i (j ) Qik bk (j ) = Qij , i, j = 1, 2, . . . , m,

(12)

k=1

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2619

Here, we investigate the convergence and error analysis of the second kind

Chebyshev wavelets basis.

Theorem 3.2. Supposef (t) L2w [0, 1] with bounded second derivative, say

|f (t)| L, and let n=0 m=0 cmn mn (t) be its innite second kind Cheby-

shev wavelets expansion, then

L

|cmn | 5 , (13)

23 (n + 1) 2 (m2 + 2m 3)

this means the second kind Chebyshev wavelets series converges uniformly to

f (x) and

f (t) = cnm nm (t),

n=1 m=0

1

cmn = f (t)mn (t)wnk (t)dt

0

n+1

k 2k

2 2 +1

= f (t)Um (2k+1 t 2n 1)wnk (t)dt,

n

2k

k

2 2 cos() + 2n + 1

cmn = f sin (m + 1) sin()d

2k+1

0

1 cos() + 2n + 1

cmn = f hm ()d

2

5k

2 +3 2k+1

0

where

sin() sin ((m 1)) sin ((m + 1))

hm () =

m m1 m+1

sin() sin ((m + 1)) sin ((m + 3))

,

m+2 m+1 m+3

so, we have

5k 5k

L2( 2 3) L2( 2 3)

|cmn | |hm ()| d

(m2 + 2m 3)

0

2620 F. Mohammadi MJOM

since n 2k 1, we obtain

L

|cmn | 5k

2 2 +3 (m2 + 2m 3)

L

5 .

23 (n + 1) 2 (m2 + 2m 3)

Theorem 3.3. Let f (t) be a continuous function dened on [0, 1), with second

derivatives f (t) bounded by L, then we have the following accuracy estima-

tion

L2 1

M,k 6 5 2

2 n=0 2

(n + 1) (m + 2m 3)

m=M

M 1

12

L2 1

+ 6 5 2 ,

2

k m=0 (n + 1) (m + 2m 3)

2

n=2

where

2 12

1 k

2 1 M

1

f (t)

M,k = cnm nm (t) w(t)dt .

0 n=0 m=0

Proof. We have

2

1 k

2 1 M

1

2

M,k = f (t) cnm nm (t) w(t)dt

0 n=0 m=0

2

1

k

2 1 M

1

= cnm nm (t) cnm nm (t) w(t)dt

0 n=0 m=0 n=0 m=0

1 M

1 1

= c2nm 2

nm (t)w(t)dt + c2nm 2

nm (t)w(t)dt

n=0 m=M 0 n=2k m=0 0

M

1

= c2nm + c2nm ,

n=0 m=M n=2k m=0

now by considering the relation (13) we achieve the desired result.

In this section, we derive an stochastic operational matrix for the second kind

Chebyshev wavelets. For this purpose, we rst remind some useful results for

BPFs[4,5].

Lemma 4.1. Let (t) be the m-dimensional

BPFs vector dened in (3), then

integration of this vector can be derived as

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2621

t

(s)ds P (t), (14)

0

where P is called the operational matrix of integration for BPFs and is given

by

1 2 2 ... 2

0 1 2 ... 2

h .. ..

P = 0 0 1 . . .

2. .. .. ..

.. . . . 2

0 0 0 ... 1 m m

Proof. Please see [4].

Lemma 4.2. Let (t) be the m-dimensional

BPFs vector dened in (3), the

It

o integral of this vector can be derived as

t

(s)dB(s) Ps (t), (15)

0

where Ps is called the stochastic operational matrix of BPFs and is given by

1 1 1 ... 1

0 2 1 ... 1

. ..

Ps = 0 0 3 . . . .

. . . .

.. .. .. ..

m1

0 0 ... 0 m

(2i1)h

where i = B 2 B ((i 1)h) and i = B (ih) B ((i 1)h).

Proof. Please see [4].

Now we are ready to derive a new operational matrix of stochastic inte-

gration for the second kind Chebyshev wavelets basis. For this end we use

BPFs and the matrix Q introduced in (10).

Theorem 4.1. Suppose (t) be the m-dimensional

second kind Chebyshev

wavelets vector dened in (7), the integral of this vector can be derived as

t

(s)ds QP Q1 (t) = (t), (16)

0

where Q is introduced in (10) and P is the operational matrix of integration

for BPFs derived in (14).

Proof. Let (t) be the second kind Chebyshev wavelets vector, using Theo-

rem 3.1 and Lemma 4.1 we have

t t t

(s)ds Q(s)ds =Q (s)ds = QP (t),

0 0 0

2622 F. Mohammadi MJOM

t

(s)ds QP (t) = QP Q1 (t) = (t),

0

second kind Chebyshev

wavelets vector dened in (7), the It

o integral of this vector can be derived as

t

(s)dB(s) QPs Q1 (t) = s (t), (17)

0

wavelets, Q is introduced in (10) and Ps is the stochastic operational matrix

of integration for BPFs derived in (15).

Proof. Let (t) be the second kind Chebyshev wavelets vector, using Theo-

rem 3.1 and Lemma 4.2 we have

t t

(s)dB(s) Q(s)dB(s)

0 0

t

=Q (s)dB(s) = QPs (t),

0

t

(s)dB(s) =QPs (t) = QPs Q1 (t) = s (t),

0

5. Method of Solution

In this section, we solve stochastic Ito-Volterra integral equations using the

stochastic operational matrix of the second kind Chebyshev wavelets. Con-

sider the following stochastic It

o-Volterra integral equation as

t t

X(t) = f (t) + a (s, X(s)) ds + (s, X(s)) dB(s), t [0, T ),

0 0

where X(t), f (t), a (t, X(t)) and (t, X(t)), for t [0, T ), are stochas-

tic processes dened on the same probability space (, F, P ), and X(t) is

t

unknown. Also B(t) is a Brownian motion process and 0 (s, X(s)) dB(s)

is the Ito integral. For solving this problem using the stochastic opera-

tional matrix of second kind Chebyshev wavelets, we approximate X(t), f (t),

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2623

second kind Chebyshev

wavelets as follows

f (t) = F T (t) = T (t)F, (18)

where X, F, K1 and K2 are second kind Chebyshev wavelet coecients

vector dened in Eq. (8). Moreover, K1 and K2 are functions of the unknown

vector X. Substituting above approximations in Eq. (1), we have

t t

T T

X (t) = F (t) + K1T (s)ds + K2T (s)dB(s), (22)

0 0

applying the operational matrices and s for second kind Chebyshev

wavelets derived in Eq. (22) we get

X T (t) = F T (t) + K1T (t) + K2T s (t), (23)

This equation is held for all t [0, 1), so we can write

X T K1T K2T F T = 0. (24)

Since K1 and K2 are functions of X, Eq. (24) is a nonlinear system of equa-

tions for the unknown vector X. This nonlinear system can be solved using the

well-known NewtonRaphson method. After solving this system and deter-

mining vector X, we can approximate solution of the stochastic Ito-Volterra

integral Eq. (1) by substituting obtained vector X in Eq. (19).

6. Convergence Analysis

In this section, we consider the convergence properties of the second kind

Chebyshev wavelet method for solving the stochastic It o-Voltera integral Eq.

(1). Now let .2 be the L2w norm on [0, 1] and em (t) = X(t) Xm (t) be an

error function of approximate solution Xm (t) to the exact solution X(t).

Theorem 6.1. Let X(t) be exact solution and Xm (t) be the second kind Cheby-

shev wavelet approximate solution of (1). Moreover, assume that

(i) For every T and N , there is a constant D depending only on T and N

such that for all |x| , |y| N and all 0 t T ,

|a (t, x) a (t, y)| + | (t, x) (t, y)| D |x y|

(ii) Coecients satisfy the linear growth condition

|a (t, x)| + | (t, x)| D (1 + |x|)

2

(iii) E |x| < ,

2

then Xm

(t) converges to X(t) in L .

2624 F. Mohammadi MJOM

Proof. Consider the functions z1 (t) = a (t, X(t)) , z2 (t) = (t, X(t)) and their

second kind Chebyshev wavelet approximated, i.e.,

z1 (t) = a (s, X(s)) , z2 (t) = (s, X(s)) , (25)

z1 (t) = a

(s, Xm

(s)) , z2 (t) =

(s, Xm

(s)) , (26)

and

z1m

(t) = a (s, Xm

(s)) , z2m

(t) = (s, Xm

(s)) . (27)

(t) = X(t) Xm

The error function em (t) can be written as

t t

(t) =

em (z1 (s) z1 (s))ds + (z2 (s) z2 (s)) dB(s), (28)

0 0

as a result we get

2 t 2

t

(z1 (s) z1 (s))ds +E (z1 (s) z1 (s))dB(s)

2

E em (t) = 2 E ,

0 0

(29)

from the Ito isometry we have

t

t

2 E (z1 (s) z1 (s))2 ds+ E (z2 (s) z2 (s))2 ds ,

E em

(t) = 2

0 0

(30)

t t

2 2

8 E z1 (s)z1m

(s) ds + E z1m (s) z1 (s) ds

0 0

(31)

t t

2 2

+8 E z2 (s)z2m

(s) ds+ E z2m (s) z2 (s) ds .

0 0

(32)

Theorem 3.3 shows that second kind Chebyshev wavelet expansion of any

function f converges uniformly to f . So, for any there exists n such that

2

E zim (s) zi (s) , i = 1, 2, (33)

so we get

2

E em

(t)

t t

2 m 2

+ 8 E z1 (s) z1m

(s) ds+ E z2 (s) z2 (s) ds, (34)

0 0

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2625

t

2 2 2

E em

(t) + 16D em

(s) (35)

0

2

E em

(t) 0, (36)

2

(t) converges to X(t) in Lw .

and so Xm

7. Numerical Examples

In this section, we demonstrate the eciency of the proposed second kind

Chebyshev wavelet method (SKCHWM) in Sect. 5 with some illustrative

examples. It will be shown that the numerical results derived by the proposed

method are comparable to exact solution and those of other existing methods.

From now on N is the number of iterations. Moreover, let X(t) denote the

exact solution and X(t) be the second kind Chebyshev wavelets solution

computed by the presented method. The error of the approximate solution is

dened as

i ) X(ti ) .

E(ti ) = M ax X(t (37)

o-Volterra integral equation

(population growth problem) [9,11]

t t

1

X(t) = + X(s) (1 X(s))ds + X(s)dB(s), s, t [0, 1] , (38)

2

0 0

(, , P ), and B(t) is a Brownian motion process. The exact solution of this

stochastic Ito-Volterra integral equation is

e0.5t+B(t)

X(t) = t . (39)

2 + 0 e0.5s+B(s) ds

the presented method in Sect. 5 is employed for deriving numerical solution

of this It

o-Volterra integral equation. The exact and approximate solution

computed by presented method for m = 128 and N = 100 is represented

in Fig. 1. To verify the proposed SKCHWM, the obtained numerical results

have been compared with previously published numerical ones of Ref. [11].

Table 1 shows the error means of the presented SKCHWM and the Bernstein

polynomials method [11] for some points in the interval [0, 1].

2626 F. Mohammadi MJOM

m

= 128 and N = 100

= 128 and

N = 100

0.1 0.007191 0.021256

0.2 0.008549 0.044276

0.3 0.031913 0.070860

0.4 0.053830 0.096359

0.5 0.083752 0.117920

0.6 0.094932 0.141850

0.7 0.084362 0.162259

0.8 0.083965 0.188730

0.9 0.191201 0.209053

equation[4,7,9]

t t

1

X(t) = + cos(s)X(s)ds + sin(s)X(s)dB(s), s, t [0, 1] , (40)

12

0 0

(, , P ), and B(t) is a Brownian motion process. The exact solution of this

stochastic Volterra integral equation is

t

1 t sin(2t)

X(t) = exp + sin(t) + + sin(s)dB(s). (41)

12 4 8

0

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2627

m

= 128

Table 2. Numerical results for m

= 128 and N = 100

0.1 0.092646 0.092748 0.092760 0.092763

0.2 0.098622 0.098756 0.098717 0.098715

0.3 0.104411 0.103398 0.104510 0.104494

0.4 0.116055 0.116955 0.116577 0.116523

0.5 0.128423 0.130957 0.129383 0.129568

using BPFs [4], hat basis functions [7] and Chebyshev wavelet [9]. Here,

the stochastic operational matrix of second kind Chebyshev wavelet and the

proposed method in Sect. 5 are employed to approximate solution of this

stochastic Ito-Volterra integral equation. The exact and approximate solution

computed by the presented SKCHWM for m = 128 and N = 100 is plotted

in Fig. 2. Moreover, Table 2 shows exact solution and numerical solution

obtained by the SKCHWM, generalized hat basis functions [7] and Chebyshev

wavelet method (CHWM) [9] for some points in the interval [0, 1]. As these

numerical results show, the SKCHWM is ecient and accurate for solving

stochastic Ito-Volterra integral equation.

o-Volterra integral equation

[4,7,9]

t t

X(t) = 1 + s2 X(s)ds + sX(s)dB(s), s, t [0, 1] , (42)

0 0

where X(t) is an unknown stochastic process dened on the probability space

(, , P ), and B(t) is a Brownian motion process. The exact solution of this

2628 F. Mohammadi MJOM

m

= 128

= 128 and N = 100

0.1 1.006472 1.007581 1.006151 1.006231

0.2 0.972661 0.973908 0.972836 0.972194

0.3 0.940384 0.931163 0.940423 0.940572

0.4 0.963411 0.961170 0.962597 0.962178

0.5 0.994197 1.014848 0.994243 0.994263

3 t

t

X(t) = exp + sdB(s) . (43)

6

0

The proposed SKCHWM in Sect. 5 are used for solving this stochastic Ito-

Volterra integral equation. The exact and approximate solution computed

by the presented method for m = 128 and N = 100 is shown in Fig. 3.

Moreover, Table 3 shows the exact and numerical solution derived by the pre-

sented method, the generalized hat basis functions [7] and Chebyshev wavelet

method (CHWM) [9] for some points in the interval [0, 1]. The numerical

results conrm eciency and accuracy of the proposed SKCHWM.

8. Conclusion

A new stochastic operational matrix for the second kind Chebyshev wavelets

is presented and a general procedure for forming this matrix is given. A

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2629

posed for solving stochastic It

o-Voltera integral equations. Convergence and

error analysis of the second kind Chebyshev wavelets basis are investigated.

To reveal the accuracy and eciency of the proposed method some numer-

ical examples are included. The numerical results are compared with exact

solution and those of other existing methods.

References

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Vol. 13 (2016) Second Kind Chebyshev Wavelet 2631

Fakhrodin Mohammadi

Department of Mathematics

Hormozgan University

P. O. Box 3995

Bandarabbas, Iran

e-mail: f.mohammadi62@hotmail.com

Revised: September 7, 2015.

Accepted: October 1, 2015.

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