Optimization of the mean-square approximation procedures for iterated Ito stochastic integrals based on multiple Fourier-Legendre series

Autor:	M. D. Kuznetsov, D. F. Kuznetsov
Rok vydání:	2021
Předmět:	Mean square History symbols.namesake Fourier transform Legendre series Iterated function symbols Applied mathematics Computer Science Applications Education Mathematics
Zdroj:	Journal of Physics: Conference Series. 1925:012010
ISSN:	1742-6596 1742-6588
DOI:	10.1088/1742-6596/1925/1/012010
Popis:	The article is devoted to optimization of the mean-square approximation procedures for iterated Ito stochastic integrals of multiplicities 1 to 4 based on multiple Fourier-Legendre series. The mentioned stochastic integrals are part of strong numerical methods with convergence orders 1.0, 1.5, and 2.0 for Ito stochastic differential equations with multidimensional non-commutative noise. We show that the lengths of sequences of independent standard Gaussian random variables required for the mean-square approximation of iterated Ito stochastic integrals can be significantly reduced without the loss of the mean-square accuracy of approximation for these stochastic integrals.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cfbd6a67d0bc67ca83f0b911bab015bb https://doi.org/10.1088/1742-6596/1925/1/012010 Zobrazit plný text záznamu