The unified Taylor-Itô expansion
type: Item
instance of: scholarly article
title: The unified Taylor-Itô expansion
zbMATH Open document ID: 0957.60071
author: O. Yu. Kul'chitskij
author: D. F. Kuznetsov
published in: Journal of Mathematical Sciences (New York)
publication date: 2000-08-24T00:00:00Z
review text: The authors transpose the known Taylor-Itô expansion for solutions of stochastic differential equations to the form which contains a smaller number of applied repeated stochastic integrals.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 1495320
zbMATH Keywords: numerical integration of stochastic differential equations
zbMATH Keywords: repeated stochastic integrals
reviewed by: Grigori N. Milstein
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1495320