Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations

DOI10.1016/S0362-546X(96)00253-2zbMath0897.60059OpenAlexW2088898965WikidataQ126351191 ScholiaQ126351191MaRDI QIDQ4374900

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Publication date: 12 August 1998

Published in: Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0362-546x(96)00253-2

zbMATH Keywords

shuffle algebraChen seriesBrownian motionsLyndon basismultiple Ito integralsPhilip Hall basisstrong discretization

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (8)

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Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Inversion height in free fields
• Discretization of stochastic differential equations by the product expansion for the chen series
• Random Generation of Stochastic Area Integrals
• The algebra of iterated stochastic integrals

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