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
Formats available:
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(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
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*Work supported by the Swedish Institute of Applied Mathematics (ITM)
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