A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Sol...
Published in Computational Mathematics and Mathematical Physics
AbstractThis paper is devoted to the comparative analysis of the efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations under the method of approximating multiple Ito and Stratonovich stochastic integrals based on generalized multiple Fourier series. Using the mul...