Spectral Representations of Iterated Stochastic Integrals and Their Application for Modeling Nonlinear Stochastic Dynamics
Spectral representations of iterated Itô and Stratonovich stochastic integrals of arbitrary multiplicity, including integrals from Taylor–Itô and Taylor–Stratonovich expansions, are obtained by the spectral method. They are required for the implementation of numerical methods for solving Itô and Str...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-09-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/19/4047 |