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 7,495 0 View