scientific article; zbMATH DE number 7189589

zbMath1437.60030MaRDI QIDQ4960357

Konstantin A. Rybakov

Publication date: 15 April 2020

Full work available at URL: https://diffjournal.spbu.ru/EN/numbers/2019.4/article.1.1.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic differential equationorthonormal functionsspectral methodorthogonal expansionMilstein methodspectral form of mathematical descriptioniterated stochastic integralsLevi area

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (11)

The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Multiagent algorithms for optimizing bundles of trajectories of deterministic systems with incomplete instant feedback ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item

Uses Software

• MLSY_OSM_SH

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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