Multiple stochastic integrals with Mathematica

DOI10.1016/j.matcom.2008.08.005zbMath1159.65304MaRDI QIDQ1005208

J. Martínez

Publication date: 9 March 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.005

zbMATH Keywords

stochastic differential equations; Mathematica; expectation; multiple Stratonovich integrals; multiple stochastic integrals; multiple Itô integrals

Mathematics Subject Classification ID

68W30: Symbolic computation and algebraic computation

60H05: Stochastic integrals

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

60-04: Software, source code, etc. for problems pertaining to probability theory

Uses Software

• Mathematica