Exact Calculation of the Approximation Error of Multiple Itô Stochastic Integrals1

被引：0

作者：

K. A. Rybakov

机构：

[1] Moscow Aviation Institute (National Research University),

来源：

Numerical Analysis and Applications | 2023年 / 16卷

关键词：

approximation; orthogonal expansion; multiple stochastic integral; numerical method; stochastic differential equations;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

引用

页码：172 / 178

页数：6

共 50 条

[1] Exact Calculation of the Approximation Error of Multiple Ito Stochastic Integrals1
Rybakov, K. A.
NUMERICAL ANALYSIS AND APPLICATIONS, 2023, 16 (02) : 172 - 178
[2] THE APPROXIMATION OF MULTIPLE STOCHASTIC INTEGRALS
KLOEDEN, PE
PLATEN, E
WRIGHT, IW
STOCHASTIC ANALYSIS AND APPLICATIONS, 1992, 10 (04) : 431 - 441
[3] Approximation method error of multiple integrals by simple integrals
Benabidallah, A
Cherruault, Y
Tourbier, Y
KYBERNETES, 2003, 32 (3-4) : 343 - 353
[4] Exact asymptotics for the probability density of multiple stochastic integrals
Ostrovskij, E.I.
Problemy Peredachi Informatsii, 1992, (03): : 60 - 67
[5] Iterated stochastic integrals in infinite dimensions: approximation and error estimates
Leonhard, Claudine
Roessler, Andreas
STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2019, 7 (02): : 209 - 239
[6] Iterated stochastic integrals in infinite dimensions: approximation and error estimates
Claudine Leonhard
Andreas Rößler
Stochastics and Partial Differential Equations: Analysis and Computations, 2019, 7 : 209 - 239
[7] Combined method of strong approximation of multiple stochastic integrals
Kuznetsov, Dmitriy F.
Journal of Automation and Information Sciences, 2002, 34 (5-8) : 27 - 32
[8] Approximation of multiple stochastic integrals and its application to stochastic differential equations
Li, CW
Liu, XQ
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS, 1997, 30 (02) : 697 - 708
[9] On Approximation, Bounding & Exact Calculation of Block Error Probability for Random Codes
Mueller, Ralf R.
2020 IEEE GLOBAL COMMUNICATIONS CONFERENCE (GLOBECOM), 2020,
[10] EXACT MULTIPLE-SCATTERING CALCULATION IN COMPARISON WITH FRESNEL APPROXIMATION
SCHURMANN, B
NUCLEAR PHYSICS A, 1978, 300 (02) : 235 - 241

← 1 2 3 4 5 →