scientific article; zbMATH DE number 7318972
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approximation in sense of \(n\)th momentapproximation with probability 1convergence in sense of norm in Hilbert spaceexpansionexponential Milstein schemeexponential Wagner-Platen schemegeneralized iterated Fourier seriesgeneralized multiple Fourier serieshigh-order strong numerical methodHilbert-Schmidt operatorinfinite-dimensional \(Q\)-Wiener processiterated Itô stochastic integraliterated Stratonovich stochastic integralItô stochastic differential equationLegendre polynomialmean-square approximationmultidimensional Wiener processmultiple Fourier-Legendre seriesmultiple trigonometric Fourier seriesnon-commutative semilinear stochastic partial differential equationnonlinear multiplicative trace class noiseParseval's equalitystochastic Itô-Taylor expansionstochastic Stratonovich-Taylor expansiontrace class operator
Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cited in
(11)- Iterated stochastic integrals in infinite dimensions: approximation and error estimates
- scientific article; zbMATH DE number 5945504 (Why is no real title available?)
- Strong approximation of multiple Itô and Stratonovich stochastic integrals: multiple Fourier series approach
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- 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
- Orthogonal expansion of multiple Ito stochastic integrals
- 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
- Multiple Itô and Stratonovich stochastic integrals: Fourier-Legendre and trigonometric expansions, approximations, formulas
- 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
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