scientific article

zbMath1251.60045MaRDI QIDQ3090929

D. F. Kuznetsov

Publication date: 6 September 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

multiple integralFourier seriesstochastic integral of Itô and Stratonovich type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (10)

Unnamed Item ⋮ Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion ⋮ Unnamed Item ⋮ Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations ⋮ Unnamed Item ⋮ A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations ⋮ Unnamed Item ⋮ On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence ⋮ On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence ⋮ Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations

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