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.
On numerical modeling of the multidimensional dy namic systems under random perturbations with the 1.5 and 2.0 orders of strong conver gence [In English]
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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.