Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations (Q1991638): Difference between revisions
From MaRDI portal
Latest revision as of 03:14, 17 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations |
scientific article |
Statements
Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations (English)
0 references
30 October 2018
0 references
multiple Fourier series
0 references
Legendre polynomials
0 references
repeated stochastic integral
0 references
Ito stochastic integral
0 references
Stratonovich stochastic integral
0 references
stochastic analog of Taylor's formula
0 references
Ito stochastic differential equation
0 references
numerical integration
0 references
mean square convergence
0 references
0 references