The unified Taylor-Itô expansion (Q1575990)
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scientific article; zbMATH DE number 1495320
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The unified Taylor-Itô expansion |
scientific article; zbMATH DE number 1495320 |
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The unified Taylor-Itô expansion (English)
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24 August 2000
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The authors transpose the known Taylor-Itô expansion for solutions of stochastic differential equations to the form which contains a smaller number of applied repeated stochastic integrals.
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numerical integration of stochastic differential equations
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repeated stochastic integrals
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