Monte Carlo Simulation to Solve the Linear Volterra Integral Equations of The Second Kind

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Abstract:

This paper is intended to provide a numerical algorithm based on random sampling for solving the linear Volterra integral equations of the second kind. This method is a Monte Carlo (MC) method based on the simulation of a continuous Markov chain. To illustrate the usefulness of this technique we apply it to a test problem. Numerical results are performed in order to show the efficiency and accuracy of the present method.

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Journal title

volume 20  issue 4

pages  135- 138

publication date 2010-04

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