Approximation of iterated Ito stochastic integrals of the second multiplicity based on the Wiener process expansion using Legendre polynomials and trigonometric functions

MaRDI QIDQ4960356zbMATH OpenFDO

Authors D. F. Kuznetsov

Publication date 15 April 2020

Full work available at URL https://diffjournal.spbu.ru/EN/numbers/2019.4/article.1.2.html

zbMATH Keywords

complete orthonormal system of functionsexpansioniterated Ito stochastic integralIto stochastic differential equationLegendre polynomialmean-square approximationMilstein method

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Stochastic analysis (60Hxx) Numerical analysis (65-XX) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

• A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
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• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
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Cited in

(11)

• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• scientific article; zbMATH DE number 7318961 (Why is no real title available?)
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• 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
• 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
• Operator-valued Gaussian processes and their covariance kernels
• 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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