On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence

DOI10.1134/S0005117918070056zbMath1400.93285arXiv1802.00888MaRDI QIDQ1792589

D. F. Kuznetsov

Publication date: 12 October 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.00888

zbMATH Keywords

numerical methodFourier seriesmean-square convergenceiterated stochastic Ito integral

Mathematics Subject Classification ID

Related Items (15)

The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series ⋮ Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations ⋮ On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence ⋮ Unnamed Item ⋮ 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

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Numerical solution of SDE through computer experiments. Including floppy disk
• New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations
• New representations of the Taylor-Stratonovich expansion
• Stratonovich and Ito Stochastic Taylor Expansions
• The approximation of multiple stochastic integrals
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