Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations (Q1991638)
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scientific article; zbMATH DE number 6968561
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| English | Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations |
scientific article; zbMATH DE number 6968561 |
Statements
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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0.7027974724769592
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0.6973236799240112
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0.6884912848472595
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