scientific article; zbMATH DE number 6762859

zbMath1368.60004MaRDI QIDQ5348756

D. F. Kuznetsov

Publication date: 21 August 2017

Full work available at URL: http://www.math.spbu.ru/diffjournal/pdf/kuznetsov_book3.pdf

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zbMATH Keywords

stochastic differential equationnumerical methodstrong convergenceweak convergencenumerical integrationstochastic Taylor expansionweak approximationmultiple Fourier seriesLegendre polynomialnumerical modelingstrong approximationIto stochastic differential equationmean-square convergenceimplicit numerical methodParseval equalitymultiple trigonometric Fourier seriesStratonovich stochastic integralfinite-difference numerical methodMATLAB programexplicit numerical methodIto stochastic integralTaylor-Stratonovich expansionmultiple Fourier-legemdre seriesmultiple stochastic integral expansionmultiple Stratonovich stochastic integralnumerical method of Runge-Kutta typeone-step numerical methodstochastic differential equation with jump componentstochastic integral on martingalestochastic integral on Poisson measurestrong numerical methodthree-step numerical methodtwo-step numerical methodunified Taylor-Stratonovich expansionweak numerical methodmultiple ito stochastic integralTaylor-Ito expansionunified Taylor-ito expansion

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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