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A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Sol...

Kuznetsov, D. F.

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...

Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time ...

Preston, S. P. Wood, Andrew T. A.

Published in Statistics and Computing

Likelihood-based inference for parameters of stochastic differential equation (SDE) models is challenging because for most SDEs the transition density is unknown. We propose a method for estimating the transition density that involves expanding the sample path as an Ito–Taylor series, calculating the moment generating function of the retained terms...

Publication search with Ito–Taylor expansion as keyword

A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Sol...

Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time ...

Publication search
with Ito–Taylor expansion as keyword