Relations between multiple ito and stratonovich integrals

DOI10.1080/07362999108809243MaRDI QIDQ3985885zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, Peter E. Kloeden

Publication date 27 June 1992

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999108809243

zbMATH Keywords

multiple Itô integralsmultiple Stratonovich integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• A survey of numerical methods for stochastic differential equations
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Cited in

(12)

• Multiple stochastic integrals with Mathematica
• A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
• On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals
• Numerical treatment of stochastic delay differential equations: a global error bound
• scientific article; zbMATH DE number 7038846 (Why is no real title available?)
• On the Expectations of Multiple Stratonovich Integrals
• scientific article; zbMATH DE number 4050697 (Why is no real title available?)
• scientific article; zbMATH DE number 19169 (Why is no real title available?)
• scientific article; zbMATH DE number 1782586 (Why is no real title available?)
• scientific article; zbMATH DE number 2098669 (Why is no real title available?)
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• scientific article; zbMATH DE number 2247308 (Why is no real title available?)

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