scientific article; zbMATH DE number 7510840

zbMath1492.60004MaRDI QIDQ5071330

D. F. Kuznetsov

Publication date: 21 April 2022

Full work available at URL: https://diffjournal.spbu.ru/EN/numbers/2021.4/article.1.9.html

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zbMATH Keywords

expansionLegendre polynomialsItô stochastic differential equationtrace class operatorHilbert-Schmidt operatorParseval equalitymultiple trigonometric Fourier seriesmulti-dimensional Wiener processmean-square approximationiterated Stratonovich stochastic integralgeneralized multiple Fourier seriesexponential Wagner-Platen schememultiple Fourier-Legendre seriesstochastic Itô-Taylor expansionexponential Milstein schemenon-commutative semilinear stochastic partial differential equationapproximation with probability 1convergence in sense of norm in Hilbert spacegeneralized iterated Fourier serieshigh-order strong numerical methodnonlinear multiplicative trace class noiseinfinite-dimensional Q-Wiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) PDEs in connection with statistics (35Q62)

Related Items (4)

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Uses Software

• Matlab
• SDELab
• SDE-MATH

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