scientific article; zbMATH DE number 7318972

zbMath1456.65001arXiv2003.14184MaRDI QIDQ4965807

D. F. Kuznetsov

Publication date: 10 March 2021

Full work available at URL: https://arxiv.org/abs/2003.14184

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

zbMATH Keywords

expansionLegendre polynomialItô stochastic differential equationtrace class operatorParseval's equalityHilbert-Schmidt operatormultiple trigonometric Fourier seriesmean-square approximationmultidimensional Wiener processiterated Stratonovich stochastic integralgeneralized multiple Fourier seriesexponential Wagner-Platen schemeiterated Itô stochastic integralmultiple Fourier-Legendre seriesstochastic Itô-Taylor expansionexponential Milstein schemeinfinite-dimensional \(Q\)-Wiener processnon-commutative semilinear stochastic partial differential equationapproximation in sense of \(n\)th momentapproximation with probability 1convergence in sense of norm in Hilbert spacegeneralized iterated Fourier serieshigh-order strong numerical methodnonlinear multiplicative trace class noisestochastic Stratonovich-Taylor expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Uses Software

• Matlab
• SDELab
• SDE-MATH

Cites Work

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