Corpus ID: 233872265

Numerical Simulation of 2.5-Set of Multiple Stratonovich Stochastic Integrals of Multiplicities 1 to 5

@inproceedings{Kuznetsov2018NumericalSO,
  title={Numerical Simulation of 2.5-Set of Multiple Stratonovich Stochastic Integrals of Multiplicities 1 to 5},
  author={D. Kuznetsov},
  year={2018}
}
Abstract. In this article we construct effective procedures of mean-square approximation of multiple Stratonovich stochastic integrals of multiplicities 1-5, based on multiple FourierLegendre series. The results of the article can be used for realizations of numerical methods with order of strong convergence 2.5 for Ito stochastic differential equations with multidimensional non-additive noise. 
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References

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