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Multiple stochastic integrals with Mathematica

โœ Scribed by A. Tocino


Book ID
108200420
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
343 KB
Volume
79
Category
Article
ISSN
0378-4754

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๐Ÿ“œ SIMILAR VOLUMES


Approximation of Multiple Stochastic Int
โœ C.W. Li; X.Q. Liu ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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