Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations (Q1991638): Difference between revisions

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Latest revision as of 03:14, 17 July 2024

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Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
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    Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations (English)
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    30 October 2018
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    multiple Fourier series
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    Legendre polynomials
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    repeated stochastic integral
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    Ito stochastic integral
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    Stratonovich stochastic integral
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    stochastic analog of Taylor's formula
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    Ito stochastic differential equation
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    numerical integration
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    mean square convergence
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    Identifiers

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