scientific article; zbMATH DE number 7189589
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Publication:4960357
zbMath1437.60030MaRDI QIDQ4960357
Publication date: 15 April 2020
Full work available at URL: https://diffjournal.spbu.ru/EN/numbers/2019.4/article.1.1.html
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stochastic differential equationorthonormal functionsspectral methodorthogonal expansionMilstein methodspectral form of mathematical descriptioniterated stochastic integralsLevi area
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Uses Software
Cites Work
- Stochastic differential equations. An introduction with applications
- Diffusion processes and their sample paths.
- A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
- Numerical methods for stochastic partial differential equations with white noise
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Approximate Integration of Stochastic Differential Equations
- Handbook of stochastic methods for physics, chemistry and natural sciences.
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