Approximation of iterated Ito stochastic integrals of the second multiplicity based on the Wiener process expansion using Legendre polynomials and trigonometric functions (Q4960356)
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scientific article; zbMATH DE number 7189588
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| English | Approximation of iterated Ito stochastic integrals of the second multiplicity based on the Wiener process expansion using Legendre polynomials and trigonometric functions |
scientific article; zbMATH DE number 7189588 |
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15 April 2020
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complete orthonormal system of functions
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expansion
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iterated Ito stochastic integral
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Ito stochastic differential equation
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Legendre polynomial
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mean-square approximation
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Milstein method
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0.8399307727813721
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0.8318037986755371
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