Approximation schemes for Itô-Volterra stochastic equations (Q1908576): Difference between revisions
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Latest revision as of 06:13, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation schemes for Itô-Volterra stochastic equations |
scientific article |
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Approximation schemes for Itô-Volterra stochastic equations (English)
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3 November 1996
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The paper considers strong discrete time approximations for Itô-Volterra equations. The authors generalize the classical results for Itô stochastic differential equations and obtain higher strong order numerical schemes. These include multiple stochastic integrals resulting from a stochastic Taylor expansion.
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Itô-Volterra equations
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Itô stochastic differential equations
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multiple stochastic integrals
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stochastic Taylor expansions
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