New Itô--Taylor expansions
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Publication:1408408
DOI10.1016/S0377-0427(03)00464-3zbMath1031.65014MaRDI QIDQ1408408
Jesus Vigo Aguiar, Alicia Tocino
Publication date: 15 September 2003
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-0427(03)00464-3
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Cites Work