A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Solution of Ito Stochastic Differential Equations

@article{Kuznetsov2019ACA,
  title={A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Solution of Ito Stochastic Differential Equations},
  author={D. Kuznetsov},
  journal={Computational Mathematics and Mathematical Physics},
  year={2019},
  volume={59},
  pages={1236-1250}
}
  • D. Kuznetsov
  • Published 2019
  • Mathematics
  • Computational Mathematics and Mathematical Physics
The article is devoted to comparative analysis of the efficiency of application of Legendre polynomials and trigonometric functions to the numerical integration of Ito stochastic differential equations in the framework of the method of approximation of iterated Ito and Stratonovich stochastic integrals based on generalized multiple Fourier series. On the example of iterated Ito stochastic integrals of multiplicities 1 to 3, included in the Taylor-Ito expansion, it is shown that expansions of… Expand

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