scientific article; zbMATH DE number 6268877

zbMath1294.60077MaRDI QIDQ5400925

Edward J. Allen

Publication date: 12 March 2014

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

zbMATH Keywords

stochastic differential equationnumerical methodstochastic integral

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)

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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 ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Development and application of the Fourier method 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

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