Approximation schemes for Itô-Volterra stochastic equations (Q1908576)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Approximation schemes for Itô-Volterra stochastic equations |
scientific article; zbMATH DE number 850791
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation schemes for Itô-Volterra stochastic equations |
scientific article; zbMATH DE number 850791 |
Statements
Approximation schemes for Itô-Volterra stochastic equations (English)
0 references
3 November 1996
0 references
The paper considers strong discrete time approximations for Itô-Volterra equations. The authors generalize the classical results for Itô stochastic differential equations and obtain higher strong order numerical schemes. These include multiple stochastic integrals resulting from a stochastic Taylor expansion.
0 references
Itô-Volterra equations
0 references
Itô stochastic differential equations
0 references
multiple stochastic integrals
0 references
stochastic Taylor expansions
0 references
