New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion

Abstract

In this paper, stochastic integral equations characterized by fractional Brownian motion have been studied. The fractional stochastic integral equation has been solved by second kind Chebyshev wavelets. The convergence and error analysis have been discussed for the efficiency of the discussed method. In addition, two illustrative examples have been solved to examine the efficiency and accuracy of the proposed scheme.

Keywords:

• Fractional stochastic integral equations
• fractional Brownian motion
• second kind Chebyshev wavelets
• fractional stochastic operational matrix

MSC:

• 60H30
• 60H35

PACS:

• 2.30.Rz