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Stratonovich-Taylor expansion and numerical methods *  

Author: Roger Pettersson a
Affiliation:   a Department of Mathematical Statistics, Lund University,
DOI: 10.1080/07362999208809294
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 10, Issue 5 1992 , pages 603 - 612
Formats available: PDF (English)
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Abstract

By a special representation of stochastic differential equations we give a notationally and computationally convenient Stratonovich-Taylor expansion of stochastic integrals. The expansion gives a prescription for numerical simulation of stochastic differential equations and a means for checking the local errors of numerical methods
*Work supported by the Swedish Institute of Applied Mathematics (ITM)
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