Approximation Solution of Two-Dimensional Linear Stochastic Fredholm Integral Equation by Applying The Haar Wavelet
Approximation Solution of Two-Dimensional Linear Stochastic Fredholm Integral Equation by Applying The Haar Wavelet
Approximation Solution of Two-Dimensional Linear Stochastic Fredholm Integral Equation by Applying The Haar Wavelet
Abstract.In this paper, we introduce an efficient method based on Haar wavelet to approximate a solution for the two-dimensional linear stochastic Fredholm integral equation. We also
give an example to demonstrate the accuracy of the method.
1.
Introduction
Haar Wavelets
Numerical Method
Numerical Example
Conclusion
Introduction
1 [email protected]
2 [email protected]
3 Corresponding
author: [email protected]
c 2015 IAUCTB
http://www.ijm2c.ir
362
These include the Nystrom method, collocation method, Gauss product quadrature rule method, Galerkin method, using triangular fuctions, Legender polynomial
method, differential transform method, meshless method, Bernstein polynomials
method and Haar wavelet method [5, 7, 8, 9, 12, 13, 14, 15, 19, 21, 22, 24, 29, 30]. This
paper is first focused on proposing a generic framework for numerical solution of
two-dimensional ordinary linear Fredholm integral equations of second kind. The
use of the Haar wavelet for the numerical solution of linear integral equations
has previously been discussed in [3] and references therein. In [2] a new numerical method based on Haar wavelet is introduced for solution of nonlinear onedimensional Fredholm and Volterra integral equations. In [27] the Haar wavelet
method [2] is extended to numerical solution of integro-differential equation. In
[26] the Haar wavelet method [2, 27] is improved in terms of efficiency by introducing one-dimentional Haar wavelet approximation of the kernel function. The
method [3] is fundamentally different from the other numerical methods based on
Haar wavelet for the numerical solution of integral equations as it approximates
kernel function using Haar wavelet. Its easy to show that the Fredholm integral
form of the general hyperbolic differential equation [10] is given by two-dimentional
integral equation
1 1
g(x, y) = f (x, y) +
g(x, y) = f (x, y) +
0
(1)
1 1
+
0
n a
363
defined as [18]
b
n a
n (t, s)dB(t)dB(s)
in
L2 ().
b [
(t, s)dB(t)dB(s) = 2
a
(2)
b
a
B(t)dB(t) =
a
2.
(3)
}
1{
B(b)2 B(a)2 (b a) .
2
(4)
Haar Wavelets
1, f or y [0, 1)
0, otherwise,
(5)
and
1,
hi (y) = 1,
0,
f ory [, )
f ory [, )
otherwise
i = 2, 3, ...,
where
n =
n
,
m
m = 2 ,
n =
(n + 0.5)
,
m
= 0, 1, ...,
n =
(n + 1)
;
m
n = 0, 1, ..., m 1.
(6)
364
The integer indicats the level of the wavelet and n is the translation parameter.
Any square integrable function f (y) defined on [0, 1) can be expressed as follows:
f (y) =
ai hi (y),
i=1
2M
ai hi (y).
i=1
3.
Numerical Method
In this section proposed numerical method [3] will be discussed for two-dimensional
linear stochastic Fredholm integral equation of the second kind. In the first subsection, we state some results for efficient evalution of two-dimensional Haar wavelet
approximations. In the second subsection, we apply these results for finding numerical solutions equation (1.1).
For Haar wavelet approximation of a function f (x, y) of two real variables x and
y, we assume that the domain 0 x, y 1 is divided into a grid of size 2M 2N
using the following collocation points
xm =
yn =
3.1
m 0.5
, m = 1, 2, ..., 2M,
2M
(7)
n 0.5
, n = 1, 2, ..., 2N.
2N
(8)
2M
2N
(9)
p=1 q=1
In order to calculate the unknown coefficients bi,j s, the collocation points defined
in Eqs. (3.1) and (3.2) are substituted in Eq. (3.3).Hence, we obtain the following
2M 2N linear system with unknowns bi,j s:
G(xm , yn ) =
2M
2N
p=1 q=1
n = 1, 2, ..., 2N.
(10)
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The solution of system (3.4) can be calculated from the following theorem.
Theorem 2. The solution of the system (3.4) is given below:
b1,1 =
2M
2N
1
G(xm , yn ),
2M 2N
p=1 q=1
bi,1 =
b1,j
1
2N
1 2N p=
G(xm , yn )
q=1
1
2N
G(xm , yn )
2
2
2M
2M
=
G(xm , yn )
G(xm , yn )
2M 2
q=
p=1
1
2
1
G(xm , yn )
1 2 p= q=
p=
1
i = 2, 3, ..., 2M,
j = 2, 3, ..., 2N,
p=1 q=2 +1
bi,j =
p=1 +1 q=1
G(xm , yn )
q=2 +1
G(xm , yn )
p=1 +1 q=2
G(xm , yn )
p=1 +1 q=2 +1
where
1 = 1 (1 1) + 1,
1 = 1 (1 1) + 21 ,
1 = 1 1 ,
.
1 = 2M
1 ,
1 = i 1 ,
1 = 2log2 (i1)
(11)
2 = 2 (2 1) + 1,
2 = 2 (2 1) + 22 ,
2 = 2 2 ,
.
2 = 2N
2 ,
2 = j 2 ,
2 = 2log2 (j1)
(12)
and similarly,
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G(x, y, s, t)
2M
2N
(13)
p=1 q=1
i 0.5
, i = 1, 2, ..., 2M,
2M
tj =
j 0.5
, j = 1, 2, ..., 2N,
2N
and
2M
2N
p=1 q=1
(14)
Corollary 1. The solution of the system (3.8) for any value of x.y [0, 1] is given
as follows [3]:
2M
2N
1
G(x, y, sp , tq ),
b1,1 (x, y) =
2M 2N
p=1 q=1
bi,1 (x, y) =
1
2N
1 2N p=
1
2N
G(x, y, sp , tq )
q=1
p=1 +1 q=1
2
2
2M
2M
G(x, y, sp , tq )
G(x, y, sp , tq ) , j = 2, 3, ..., 2N,
b1,j (x, y) =
2M 2
q=
p=1
p=1 q=2 +1
1
2
1
bi,j (x, y) =
G(x, y, sp , tq )
1 2 p= q=
p=
1
p=1 +1 q=2
G(x, y, sp , tq ) +
G(x, y, sp , tq )
q=2 +1
G(x, y, sp , tq ) ,
p=1 +1 q=2 +1
367
where 1 , 1 , 1 and 1 are defined as in Eq. (3.5) and 2 , 2 , 2 and 2 are defined
as in Eq. (3.6).
Corollary 2. Suppose a function G(x, y) of two variables x and y is approximated
using Haar wavelet approximation given in Eq. (3.3). Suppose further that G(x, y)
is known at collocation points (xm , ym ), m = 1, 2, ..., 2M, n = 1, 2, ..., 2N. Then
the approximate value of the function G(x, y) at any other point of the domain
can be calculated as follows [3]:
2M
2N
1
G(x, y) =
G(xm , ym )h1 (x)h1 (y)
2M 2N
p=1 q=1
2M
i=1
2N
j=1
1
1
2N
2N
G(xm , ym )
G(xm , ym ) hi (x)h1 (y)
1 2N p=
1
2M 2
q=1
2
2M
p=1 +1 q=1
G(xm , ym )
p=1 q=2
2
2M
p=1 q=2 +1
1
2
1
2M
2N
1
+
G(xm , ym )
1 2 p= q=
p=
i=1 j=1
G(xm , ym ) +
p=1 +1 q=2
F (xm , ym )
q=2 +1
p=1 +1 q=2 +1
where 1 , 1 , 1 and 1 are defined as in Eq. (3.5) and 2 , 2 , 2 and 2 are defined
as in Eq. (3.6).
3.2
Two-dimensional linear stochastic Fredholm integral equation
Consider the two-dimensional linear stochastic Fredholm integral equation (1.1).
First we define:
K2 (x, y, s, t)g(s, t) = (t, s),
afterward from (1.3) we have
s) = 1 {K2 (x, y, t, s)g(t, s) + K2 (x, y, s, t)g(s, t)} .
(t,
2
Assume that the function K(x, y, s, t)g(s, t) is approximated using two-dimensional
Haar wavelet as follows:
K1 (x, y, s, t)g(s, t)
2M
2N
i=1 j=1
(15)
368
s)
(t,
2M
2N
(16)
i=1 j=1
With this approximation and using Eq. (1.2) we can write Eq. (1.1) as follows:
2M
2N
1 1
g(x, y) = f (x, y) +
0
(17)
i=1 j=1
+2
t
2N
2M
0 i=1 j=1
Eq. (3.11) can be written in a more compact form using the notations introduced
in equations (2.1) and (2.2) and is given as follows:
2N
j=2
2M
i=2
2M
2N
i=2 j=2
Ito1(1) =
h1 (t)
h1 (t)
0
B 2 (1) 1
,
2
2
1 [ i
B(t)dB(t) =
Ito1(i) =
h1 (s)dB(s) dB(t) =
hi (s)dB(s) dB(t) =
dB(s)
]
dB(s) dB(t)
Ito1(j) =
hj (t)
0
h1 (s)dB(s) dB(t) =
0
B(t)dB(t) =
j
and
Ito3(i, j) =
hj (t)
0
hj (t)B(t)dB(t)
0
B(t)dB(t)
]
hi (s)dB(s) dB(t)
2mB 2 (j ) B 2 (j ) B 2 (j ) + 1
,
2m
hj (t)
0
dB(s)
369
]
dB(s) dB(t)
2N
c1,j (xm , yn )
j=2
Ito2(j) +
2M
i=2
2M
2N
i=2 j=2
1
K1 (xm , yn , sp , tq )g(sp , tq )
2M 2N
g(xm , yn ) = f (xm , yn ) +
(18)
p=1 q=1
2N
j=2
2M
i=2
+2
M 2
2
2M
q , sp ) Ito1(1)
(t
p=1 q=1
q , sp )
(t
p=1 q=2
2
2M
q , sp )Ito2(j)
(t
p=1 q=2 +1
1
1
2N
2N
1
q , sp )
q , sp )Ito1(i)
(t
(t
1 N p=
1
2M
2N
i=2 j=2
1
M 2N
2M
2N
q=1
p=1 +1 q=1
1
2
1
(tq , sp )
1 2 p= q=
p=
p=1 +1 q=2
q , sp ) +
(t
p=1 +1 q=2 +1
q , sp )
(t
q=2 +1
q , sp ) Ito3(i, j).
(t
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Table 1.
The solution mean with %95 confidence interval for above example
2M
(x, y)
g(x, y)
L
%95 Confidence
Interval
(0.25, 0.25)
(0.25, 0.75)
(0.75, 0.25)
0.394433
0.881874
0.882179
0.392491
0.879448
0.879495
0.396374
0.884299
0.884864
(0.125, 0.625)
(0.375, 0.375)
(0.875, 0.375)
0.626416
0.626752
1.06476
0.621964
0.619833
1.03276
0.630868
0.633671
1.09675
(0.0625, 0.8125)
(0.4375, 0.4375)
(0.9375, 0.1875)
0.625749
0.616593
0.854036
0.620075
0.611904
0.834678
0.631423
0.621282
0.873394
0.532988
0.459968
0.695789
0.522597
0.449544
0.686792
0.543379
0.470391
0.704786
0.0968562
0.87951
0.746029
0.0897225
0.868732
0.735251
0.10399
0.890288
0.756807
16
(0.03125, 0.84375)
(0.40625, 0.40625)
(0.9375, 0.1875)
16
32
(0.015625, 0.515625)
(0.765625, 0.765625)
(0.984375, 0.234375)
Eq. (3.12) represents 2M 2N system which can be solved using either prevalent
methods for solving linear systems. The solution of this system gives values of
g(x, y) at the collocation points. The values of g(x, y) at points other than
collocation points can be calculated using Corollary 2.
4.
Numerical Example
In this section, the numerical example is given to demonstrate the applicability and
accuracy of our method. Consider the following linear two dimensional stochastic
Fredholm integral equation of second kind:
1 1
1 1
(x+y+ts)g(s, t)dsdt+
0
(x+y+t+s)g(s, t)dB(s)dB(t)
0
where
f (x, y) = x + y
1
xy(x3 + 4x2 y + 4xy 2 + y 3 ).
12
The solution mean with confidence interval at the collocation points 1000 iterative
of system (3.12) is shown in Table 1. In Figs. 1, three-dimensional graph of the
approximate solution for level L = 4 is shown.
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5.
Conclusion
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