scientific article; zbMATH DE number 7189588

MaRDI QIDQ4960356

D. F. Kuznetsov

Publication date: 15 April 2020

Full work available at URL: https://diffjournal.spbu.ru/EN/numbers/2019.4/article.1.2.html

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

zbMATH Keywords

expansionLegendre polynomialIto stochastic differential equationMilstein methodmean-square approximationiterated Ito stochastic integralcomplete orthonormal system of functions

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (8)

The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

• Numerical solution of stochastic differential equations with jumps in finance
• Numerical solution of SDE through computer experiments. Including floppy disk
• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
• Iterated stochastic integrals in infinite dimensions: approximation and error estimates
• A Milstein scheme for SPDEs
• The approximation of multiple stochastic integrals
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