The unified Taylor-Itô expansion

zbMath0957.60071MaRDI QIDQ1575990

O. Yu. Kul'chitskij, D. F. Kuznetsov

Publication date: 24 August 2000

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

numerical integration of stochastic differential equationsrepeated stochastic integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations

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