Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity
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Publication:4412398
DOI10.1081/SAP-120022867zbMath1050.60062MaRDI QIDQ4412398
Publication date: 14 July 2003
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
commutativity; stochastic ordinary differential equations; Stratonovich-Taylor expansions; Stratonovich-Taylor numerical methods
65C20: Probabilistic models, generic numerical methods in probability and statistics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
37H10: Generation, random and stochastic difference and differential equations
65C30: Numerical solutions to stochastic differential and integral equations
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