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Integral approximation of stochastic differential equations with anticipating initial conditions

✍ Scribed by A. M. Kulik


Book ID
112477634
Publisher
Springer
Year
1995
Tongue
English
Weight
553 KB
Volume
47
Category
Article
ISSN
0041-5995

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Approximation of Multiple Stochastic Int
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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