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# Mediterr. J. Math.

13 (2016), 26132631
DOI 10.1007/s00009-015-0642-z
1660-5446/16/052613-19
published online October 17, 2015
c Springer Basel 2015

## Second Kind Chebyshev Wavelet Galerkin

Method for Stochastic It
o-Volterra Integral
Equations

## Abstract. In this paper, an ecient wavelet Galerkin method based on

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 .
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

## and engineering. Wavelets permit the accurate representation of a variety of

functions and operators. Moreover, wavelets establish a connection with fast
numerical algorithms . Several wavelets methods have been used for
approximating solution of the integral equations and dierential equations
.
Recently, numerical solution of stochastic functional equations becomes
an interesting subject in numerical analysis . 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 . Khodabin et al.  have proposed a computational method
based on Triangular functions and their operational matrix for solving sto-
chastic Ito-Volterra integral equations. In  and , the generalized hat basis
functions and their operational matrix are used for numerical solution of sto-
chastic Ito-Volterra integral equations. Mohammadi  has been presented
a computational method based on the Chebyshev wavelets for solving sto-
chastic Ito-Volterra integral equations. Asgari et al.  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

## 2.1. Stochastic Calculus

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 < .

## o integral). Let f V(S, T ), then the It

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

## where, {n } is a sequence of elementary functions such that

T

2
E (f (t, ) n (t, )) dt 0, asn .
s

## o isometry). Let f V(S, T ), then

Definition 5 (The It
2 T
T 

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

## 2.2. Block Pulse Functions

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,

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

## If m the set of BPFs is a complete basis for L2 [0, T ), so an arbitrary

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

## Rewriting Eq. (2) in the vector form we have

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

## For an m-vector F we have

(t)T (t)F = F (t), (4)
where F is an m m matrix, and F = diag(F ).

## 3. Second Kind Chebyshev Wavelets

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 
 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 
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

## where C and (t) are m = 2k M column vectors given by

 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) .

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

## 3.1. Second Kind Chebyshev Wavelets and BPFs

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

## and this prove the desired result. 

Vol. 13 (2016) Second Kind Chebyshev Wavelet 2619

## 3.2. Convergence Analysis

Here, we investigate the convergence and error analysis of the second kind
Chebyshev wavelets basis.
Theorem 3.2. Supposef (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

## Proof. From the denition of coecient cmn we have

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

## by substituting 2k+1 t 2n 1 = cos() we get

k   
2 2 cos() + 2n + 1
cmn = f sin (m + 1) sin()d
2k+1
0

## using integration by part two times we obtain

  
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

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. 

## 4. Stochastic Operational Matrix

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

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).
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

## now Theorem 3.1 gives

t
(s)ds QP (t) = QP Q1 (t) = (t),
0

## Theorem 4.2. Suppose (t) be the m-dimensional

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

## where s is called stochastic operational matrix for second kind Chebyshev

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

## now Theorem 3.1 results

t
(s)dB(s) =QPs (t) = QPs Q1 (t) = s (t),
0

## and this completes the proof. 

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

## a (t, X(t)) and (t, X(t)) in terms of m-dimensional

second kind Chebyshev
wavelets as follows
f (t) = F T (t) = T (t)F, (18)

## (t, X(t)) = K2T (t) = (t)T K2 , (21)

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 .

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

## The Gronwall inequality for this inequality results

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)

## Example 1. Consider the nonlinear stochastic It

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

## 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
stochastic Ito-Volterra integral equation is

e0.5t+B(t)
X(t) = t . (39)
2 + 0 e0.5s+B(s) ds

## The stochastic operational matrix of second kind Chebyshev wavelet and

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. .
Table 1 shows the error means of the presented SKCHWM and the Bernstein
polynomials method  for some points in the interval [0, 1].

## Figure 1. The approximate solution and exact solution for

m
= 128 and N = 100

= 128 and
N = 100

## t SKCHWM Ref. 

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

## Example 2. Let us consider the following stochastic Ito-Volterra integral

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

## 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
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

## Figure 2. The approximate solution and exact solution for

m
= 128
Table 2. Numerical results for m
= 128 and N = 100

## t Exact Ref.  CHWM SKCHWM

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

## This stochastic Ito-Volterra integral equation has been solved numerically

using BPFs , hat basis functions  and Chebyshev wavelet . 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  and Chebyshev
wavelet method (CHWM)  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.

## Example 3. Consider the following stochastic It

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

m
= 128

## Table 3. Numerical results for m

= 128 and N = 100

## t Exact Ref.  CHWM SKCHWM

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

## stochastic Volterra integral equation is

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  and Chebyshev wavelet
method (CHWM)  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

## wavelet Galerkin method based on this stochastic operational matrix is pro-

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.

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