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Some approximations of stochastic integrals and solutions of stochastic differential equations

✍ Scribed by V. Mackevičius


Publisher
Springer
Year
1978
Tongue
English
Weight
342 KB
Volume
18
Category
Article
ISSN
0363-1672

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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