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Exact calculation of the approximation error of multiple Itô stochastic integrals
K. A. Rybakov Moscow Aviation Institute, Moscow, Russia
Abstract:
In the article, formulas for exact calculation of the approximation error of multiple It? stochastic integrals based on their orthogonal expansion are obtained. As an example, stochastic Itô integrals with multiplicities 2-4 are considered, which are used in the numerical methods for solving stochastic differential equations with orders of strong convergence 1-2.
Key words:
approximation, orthogonal expansion, multiple stochastic integral, numerical method, stochastic differential equations.
Received: 25.10.2022 Revised: 16.11.2022 Accepted: 30.01.2023
Citation:
K. A. Rybakov, “Exact calculation of the approximation error of multiple Itô stochastic integrals”, Sib. Zh. Vychisl. Mat., 26:2 (2023), 205–213
Linking options:
https://www.mathnet.ru/eng/sjvm839 https://www.mathnet.ru/eng/sjvm/v26/i2/p205
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Statistics & downloads: |
Abstract page: | 47 | Full-text PDF : | 2 | References: | 11 | First page: | 1 |
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