Dmitriy F. Kuznetsov

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Questions related from Dmitriy F. Kuznetsov

Whether the method of expansion of multiple stochastic integrals (based on multiple Fourier series) is useful for numerical solution of Ito SDEs?

Whether the method of expansion and mean-square approximation of multiple Ito and Stratonovich stochastic integrals (based on multiple generalized Fourier series) is useful for construction of...

22 January 2018 658 4 View

How to approximate an iterated Ito and Stratonovich stochastic integrals of high multiplicity (2, 3, 4, 5, ...) when solving numerically Ito SODEs?

How to approximate (with minimal costs) an iterated (multiple) Ito and Stratonovich stochastic integrals (from stochastic Taylor expansions) of high multiplicities (2, 3, 4, 5, ...) when solving...

01 January 1970 7,537 0 View