Multiple stochastic integrals with Mathematica

DOI10.1016/j.matcom.2008.08.005zbMath1159.65304OpenAlexW2010316025MaRDI QIDQ1005208

J. Martínez

Publication date: 9 March 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.005

zbMATH Keywords

stochastic differential equationsMathematicaexpectationmultiple Stratonovich integralsmultiple stochastic integralsmultiple Itô integrals

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Software, source code, etc. for problems pertaining to probability theory (60-04)

Related Items

Simplified order 4.0 weak Taylor schemes for additive noise ⋮ Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ A family of Chaplygin-type solvers for Itô stochastic differential equations ⋮ On the Expectations of Multiple Stratonovich Integrals

Uses Software

• Mathematica

Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A basis for iterated stochastic integrals
• Relations between multiple ito and stratonovich integrals
• The approximation of multiple stochastic integrals
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