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Kuznetsov, D. F.
Published in
Computational Mathematics and Mathematical Physics
AbstractThis paper is devoted to the development and application of the Fourier method to the numerical solution of Ito stochastic differential equations. Fourier series are widely used in various fields of applied mathematics and physics. However, the method of Fourier series as applied to the numerical solution of stochastic differential equation...
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...
KIM, YT JEON, JW PARK, HS
We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship. we derive a differentiation formula in the Stratonovich sense for fractional Br...
