Q5071330 (Q5071330): Difference between revisions

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+Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
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+On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
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+On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence
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+A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
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+Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
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+Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion
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+Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
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+Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
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+The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series
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+On the Convergence of Ordinary Integrals to Stochastic Integrals
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+On the relation between ordinary and stochastic differential equations
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+New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations
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+The approximation of multiple stochastic integrals
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+Numerical solution of SDE through computer experiments. Including floppy disk
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+Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
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+On the simulation of iterated Itô integrals.
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+Random Generation of Stochastic Area Integrals
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+SDELab: A package for solving stochastic differential equations in MATLAB
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+Numerical solution of stochastic differential equations with jumps in finance
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+Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
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+Numerical solution algorithms for stochastic differential systems with switching diffusion
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+Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations
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+The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
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+Multiple Wiener integral
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+Convergence almost everywhere of certain singular integrals and multiple Fourier series
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+Riemann-Stieltjes approximations of stochastic integrals
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+A class of approximations of Brownian motion
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+On Wong-Zakai approximation of stochastic differential equations
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+Gaussian approximations of Brownian motion in a stochastic integral
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+Wong-Zakai approximations for stochastic differential equations
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+On Wong–Zakai approximations with δ–martingales
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+Rate of convergence of Wong-Zakai approximations for stochastic partial differential equations
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+Homogeneous Chaos, p-Forms, Scaling and the Feynman Integral
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+Linear stochastic systems with constant coefficients. A statistical approach
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+Stratonovich and Ito Stochastic Taylor Expansions
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+New representations of the Taylor-Stratonovich expansion
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+Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
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+Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
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+An Accelerated Splitting-up Method for Parabolic Equations
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+Numerical analysis of semilinear stochastic evolution equations in Banach spaces
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+Approximation for semilinear stochastic evolution equations
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+Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
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+Taylor expansions of solutions of stochastic partial differential equations
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+Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
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+Taylor expansions of solutions of stochastic partial differential equations with additive noise
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+A Milstein scheme for SPDEs
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+An Exponential Wagner--Platen Type Scheme for SPDEs
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+Numerical methods for stochastic partial differential equations with white noise
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+Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
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+A modified semi-implicit Euler-Maruyama scheme for finite element discretization of SPDEs with additive noise
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+Approximation Schemes for Stochastic Differential Equations in Hilbert Space
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+A concise course on stochastic partial differential equations
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+Numerical methods for stochastic parabolic PDEs
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+A mild Itô formula for SPDEs
@@ Property / cites work: A mild Itô formula for SPDEs / rank @@
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+Stochastic Equations in Infinite Dimensions
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+Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise
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+Consistency and stability of a Milstein-Galerkin finite element scheme for semilinear SPDE
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+Iterated stochastic integrals in infinite dimensions: approximation and error estimates
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+Milstein-Type Procedures for Numerical Solutions of Stochastic Differential Equations with Markovian Switching
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+Itô-Taylor Schemes for Solving Mean-Field Stochastic Differential Equations
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+Using maximum cross section method for filtering jump-diffusion random processes
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+Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions
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+Expansion of the Stratonovich multiple stochastic integrals based on the Fourier multiple series
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+A class of new Magnus-type methods for semi-linear non-commutative Itô stochastic differential equations
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+Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
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+Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods
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+An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter
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+On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
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+A basis for iterated stochastic integrals
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