Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
DOI10.1134/S0965542518070096zbMath1483.65016arXiv1712.08991MaRDI QIDQ1991638
Publication date: 30 October 2018
Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.08991
numerical integrationmultiple Fourier seriesLegendre polynomialsIto stochastic differential equationmean square convergenceStratonovich stochastic integralIto stochastic integralrepeated stochastic integralstochastic analog of Taylor's formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (16)
Cites Work
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