scientific article; zbMATH DE number 6762859
explicit numerical methodfinite-difference numerical methodimplicit numerical methodIto stochastic differential equationIto stochastic integralLegendre polynomialMATLAB programmean-square convergencemultiple Fourier seriesmultiple Fourier-legemdre seriesmultiple ito stochastic integralmultiple stochastic integral expansionmultiple Stratonovich stochastic integralmultiple trigonometric Fourier seriesnumerical integrationnumerical methodnumerical method of Runge-Kutta typenumerical modelingone-step numerical methodParseval equalitystochastic differential equationstochastic differential equation with jump componentstochastic integral on martingalestochastic integral on Poisson measurestochastic Taylor expansionStratonovich stochastic integralstrong approximationstrong convergencestrong numerical methodTaylor-Ito expansionTaylor-Stratonovich expansionthree-step numerical methodtwo-step numerical methodunified Taylor-ito expansionunified Taylor-Stratonovich expansionweak approximationweak convergenceweak numerical method
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30)
- Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
- scientific article; zbMATH DE number 6175359 (Why is no real title available?)
- scientific article; zbMATH DE number 7318972 (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
- 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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