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Approximate Integration of Stochastic Differential Equations

✍ Scribed by Mil’shtejn, G. N.


Book ID
111677535
Publisher
Society for Industrial and Applied Mathematics
Year
1975
Tongue
English
Weight
467 KB
Volume
19
Category
Article
ISSN
0040-585X

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Approximation of Multiple Stochastic Int
✍ C.W. Li; X.Q. Liu 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 671 KB

As multiple stochastic integrals are not very easy to simulate, we would like to treat them as solutions of systems of stochastic differential equations and solve them successively and recursively approximated by the stochastic Taylor expansion as a Chen series in terms of a Philip Hall basis or Lyn