A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations (Q2278208)
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scientific article; zbMATH DE number 7139676
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| English | A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations |
scientific article; zbMATH DE number 7139676 |
Statements
A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations (English)
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4 December 2019
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multiple Fourier series
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Legendre polynomials
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multiple stochastic integral
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Ito stochastic integral
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Stratonovich stochastic integral
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Ito-Taylor expansion
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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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