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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Publication:5204818
zbMath1433.60077arXiv1905.03724MaRDI QIDQ5204818
Publication date: 5 December 2019
Full work available at URL: https://arxiv.org/abs/1905.03724
expansionLegendre polynomialsinfinite-dimensional Wiener processmean-square approximationgeneralized multiple Fourier seriesmultiple Fourier-Legendre seriesiterated stochastic Itô integralnon-commutative semilinear stochastic partial differential equation
Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series ⋮ Application of Multiple Fourier-Legendre Series to Implementation of Strong Exponential Milstein and Wagner-Platen Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item
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