scientific article; zbMATH DE number 6762859
zbMATH Open1368.60004MaRDI QIDQ5348756FDOQ5348756
Authors: D. F. Kuznetsov 
Publication date: 21 August 2017
Full work available at URL: http://www.math.spbu.ru/diffjournal/pdf/kuznetsov_book3.pdf
Title of this publication is not available (Why is that?)
numerical integrationstochastic differential equationweak convergencestrong approximationnumerical methodstrong convergencenumerical modelingweak approximationLegendre polynomialimplicit numerical methodmean-square convergencemultiple Fourier seriesParseval equalitystochastic Taylor expansionmultiple trigonometric Fourier seriesStratonovich stochastic integralfinite-difference numerical methodMATLAB programexplicit numerical methodIto stochastic differential equationIto 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
Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (5)
- Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
- 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
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
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