scientific article; zbMATH DE number 7644507

zbMATH Open1503.60063MaRDI QIDQ5871683FDOQ5871683

Authors: D. F. Kuznetsov 

Publication date: 23 January 2023

Full work available at URL: https://diffjournal.spbu.ru/EN/numbers/2022.4/article.1.9.html

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zbMATH Keywords

expansionmean-square convergencemultiple trigonometric Fourier seriesiterated Stratonovich stochastic integralItô stochastic differential equationgeneralized multiple Fourier seriesiterated Itô stochastic integralmultiple Fourier-Legendre series

Mathematics Subject Classification ID

Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Stochastic integrals (60H05) Fourier series and coefficients in several variables (42B05)

Cites Work

• 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
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• Numerical solution of SDE through computer experiments. Including floppy disk
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• Stratonovich and Ito Stochastic Taylor Expansions
• Random Generation of Stochastic Area Integrals
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• On the simulation of iterated Itô integrals.
• The approximation of multiple stochastic integrals
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• Homogeneous Chaos, p-Forms, Scaling and the Feynman Integral
• Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations
• Efficient almost-exact Lévy area sampling
• New representations of the Taylor-Stratonovich expansion
• On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
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• Approximation of triple stochastic integrals through region subdivision
• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion
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• On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence
• On an infinite integral arising in the numerical integration of stochastic differential equations
• Applying spectral form of mathematical description for representation of iterated stochastic integrals
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
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• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
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• Orthogonal expansion of multiple Ito stochastic integrals

Cited In (10)

• Expansion of the Stratonovich multiple stochastic integrals based on the Fourier multiple series
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
• 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
• Features of the expansion of multiple stochastic Stratonovich integrals using Walsh and Haar functions
• A new proof of the expansion of iterated Itô stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials
• New representations of the Taylor-Stratonovich expansion
• Applying spectral form of mathematical description for representation of iterated stochastic integrals
• Title not available (Why is that?)
• On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion

Uses Software

• SDE-MATH

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