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Zapiski Nauchnykh Seminarov POMI, 2001, Volume 278, Pages 141–158 (Mi znsl1438)  

This article is cited in 4 scientific papers (total in 4 papers)

New representations of the Taylor–Stratonovich expansion

D. F. Kuznetsov

Saint-Petersburg State Polytechnical University
Full-text PDF (241 kB) Citations (4)
Abstract: The problem of the Taylor–Stratonovich expansion of the Itô random processes in a neighborhood of a point is considered. The usual form of the Taylor–Stratonovich expansion is transformed to a new representation, which includes minimal quantity of different types of multiple Stratonowich stochastic integrals. Therefore, these representations are more convenient for constructing algorithms of numerical solution of stochastic differential Itô equations.
Received: 29.10.2000
English version:
Journal of Mathematical Sciences (New York), 2003, Volume 118, Issue 6, Pages 5586–5596
DOI: https://doi.org/10.1023/A:1026138522239
Bibliographic databases:
UDC: 519.2
Language: Russian
Citation: D. F. Kuznetsov, “New representations of the Taylor–Stratonovich expansion”, Probability and statistics. Part 4, Zap. Nauchn. Sem. POMI, 278, POMI, St. Petersburg, 2001, 141–158; J. Math. Sci. (N. Y.), 118:6 (2003), 5586–5596
Citation in format AMSBIB
\Bibitem{Kuz01}
\by D.~F.~Kuznetsov
\paper New representations of the Taylor--Stratonovich expansion
\inbook Probability and statistics. Part~4
\serial Zap. Nauchn. Sem. POMI
\yr 2001
\vol 278
\pages 141--158
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl1438}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1874387}
\zmath{https://zbmath.org/?q=an:1075.60057}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2003
\vol 118
\issue 6
\pages 5586--5596
\crossref{https://doi.org/10.1023/A:1026138522239}
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  • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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