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

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.

Keywords:

Monte Carlo method , Markov chain , Computer simulation , Volterra integral equation of the second kind