scientific article; zbMATH DE number 3839062

zbMATH Open0528.60053MaRDI QIDQ3308802FDOQ3308802

Authors: Eckhard Platen, Wolfgang Wagner 

Publication date: 1982

Title of this publication is not available (Why is that?)

zbMATH Keywords

multiple stochastic integralsstochastic Taylor formula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (32)

• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
• New Itô--Taylor expansions
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• Simplified order 4.0 weak Taylor schemes for additive noise
• A survey of numerical methods for stochastic differential equations
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Numerical solution of stochastic differential equations in finance
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• On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
• Computational solution of stochastic differential equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Trees and asymptotic expansions for fractional stochastic differential equations
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
• Title not available (Why is that?)
• 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
• Cubature Methods and Applications
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• Insurance claims modulated by a hidden Brownian marked point process
• The improved split-step θ methods for stochastic differential equation
• Word combinatorics for stochastic differential equations: splitting integrators
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• Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process
• Algebraic structures and stochastic differential equations driven by Lévy processes
• Multiple stochastic integrals with Mathematica
• Higher order Langevin Monte Carlo algorithm

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