Derives new Hu-Meyer representations and verifies sufficient conditions for iterated Stratonovich integrals w.r.t. multidimensional Wiener process components using generalized multiple Fourier series.
Numerical Integration of Stochastic Different ial Equations
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Develops strong mean-square approximations for iterated stochastic integrals of multiplicity k using generalized multiple Fourier series expansions, with explicit error formulas and applications to numerical solution of Ito SDEs and semilinear SPDEs.
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New representations of the Hu-Meyer formulas and series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process
Derives new Hu-Meyer representations and verifies sufficient conditions for iterated Stratonovich integrals w.r.t. multidimensional Wiener process components using generalized multiple Fourier series.
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Strong Approximation of Iterated Ito and Stratonovich Stochastic Integrals Based on Generalized Multiple Fourier Series. Application to Numerical Solution of Ito SDEs and Semilinear SPDEs
Develops strong mean-square approximations for iterated stochastic integrals of multiplicity k using generalized multiple Fourier series expansions, with explicit error formulas and applications to numerical solution of Ito SDEs and semilinear SPDEs.