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Zapiski Nauchnykh Seminarov POMI, 1997, Volume 244, Pages 186–204
(Mi znsl519)
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This article is cited in 7 scientific papers (total in 7 papers)
The unified Taylor–Ito Expansion
O. Yu. Kulchitskii, D. F. Kuznetsov Saint-Petersburg State Polytechnical University
Abstract:
The problem of the Taylor–Ito expansion of Ito processes in vicinity of a fixed moment of the time is considered. The Taylor–Ito expansion, which is known in a literature is transformed to the unified Taylor–Ito expansion using the system of the special repeated stohastic Ito integrals with polynomial weight functions. The unified Taylor–Ito expansion include a smaller number of different types of repeated stohastic integrals, than the Taylor–Ito expansion, which is known in a literature. There are the recurrent relations between the coefficients of the unified Taylor–Ito expansion. Therefore the unified Taylor–Ito expansion is more convenient for synthesis of algorithms of numerical solution of stochastic differential Ito equations.
Received: 15.12.1997
Citation:
O. Yu. Kulchitskii, D. F. Kuznetsov, “The unified Taylor–Ito Expansion”, Probability and statistics. Part 2, Zap. Nauchn. Sem. POMI, 244, POMI, St. Petersburg, 1997, 186–204; J. Math. Sci. (New York), 99:2 (2000), 1130–1140
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https://www.mathnet.ru/eng/znsl519 https://www.mathnet.ru/eng/znsl/v244/p186
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Abstract page: | 360 | Full-text PDF : | 160 |
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