Strong approximation of multiple Itô and Stratonovich stochastic integrals: multiple Fourier series approach
zbMATH Open1251.60045MaRDI QIDQ3090929FDOQ3090929
Authors: D. F. Kuznetsov 
Publication date: 6 September 2011
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Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (19)
- Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
- Multiple Itô and Stratonovich stochastic integrals: Fourier-Legendre and trigonometric expansions, approximations, formulas
- On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
- Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- Features of the expansion of multiple stochastic Stratonovich integrals using Walsh and Haar functions
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- Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
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- On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
- A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
- On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
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- Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion
- The approximation of multiple stochastic integrals
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