scientific article; zbMATH DE number 6830020
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Numerical solutions to stochastic differential and integral equations (65C30)
Cited in
(20)- On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
- Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
- 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
- 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
- The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
- Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
- Approximation of iterated Ito stochastic integrals of the second multiplicity based on the Wiener process expansion using Legendre polynomials and trigonometric functions
- Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
- scientific article; zbMATH DE number 7318972 (Why is no real title available?)
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- scientific article; zbMATH DE number 7627965 (Why is no real title available?)
- 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
- Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
- 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
- scientific article; zbMATH DE number 7644507 (Why is no real title available?)
- 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
- A new proof of the expansion of iterated Itô stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials
- 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
- 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. II
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