Relations between multiple ito and stratonovich integrals

DOI10.1080/07362999108809243zbMath0746.60062OpenAlexW1996962684MaRDI QIDQ3985885

Eckhard Platen, Peter E. Kloeden

Publication date: 27 June 1992

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999108809243

zbMATH Keywords

multiple Stratonovich integralsmultiple Itô integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (6)

Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals ⋮ A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations ⋮ On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals ⋮ Multiple stochastic integrals with Mathematica ⋮ On the Expectations of Multiple Stratonovich Integrals ⋮ Numerical treatment of stochastic delay differential equations: a global error bound

Cites Work

• A survey of numerical methods for stochastic differential equations
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• An asymptotically efficient difference formula for solving stochastic differential equations
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