nssvie.SVIE.solve_numerical

SVIE.solve_numerical(m=20, solve_method='bpf')

Compute a numerical solution for the given stochastic Volterra integral equation.

Parameters

mint, default 20

The number of equidistant intervals to divide \([0,T)\).

solve_methodstr, default ‘bpf’

If solve_methods='bpf' an algorithm presented in Maleknejad et. al (2012) is used which relies on an operational matrix of integration based on block pulse functions.

Returns

numpy.ndarray

The approximate block pulse function coefficient of the unknown stochastic process \(X_t\).