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Zapiski Nauchnykh Seminarov POMI, 2001, Volume 278, Pages 141–158
(Mi znsl1438)
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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
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
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
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https://www.mathnet.ru/eng/znsl1438 https://www.mathnet.ru/eng/znsl/v278/p141
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Abstract page: | 260 | Full-text PDF : | 78 |
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