SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise
16 references·3 citing·24 second hop
Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise (2018)Expansion of Iterated Stratonovich Stocha…Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series (2019)Expansion of iterated Straton…Exact Calculation of the Mean-Square Error in the Method of Approximation of Iterated Ito Stochastic integrals, Based on Generalized Multiple Fourier Series (2018)Exact Calculation of the Mean…Expansion of Iterated Ito Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Multiple Fourier Series Converging in the Mean (2017)Expansion of Iterated Ito Sto…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Multiple Ito and Stratonovich stochastic integrals: approximations, properties, formulas (2013)Multiple Ito and Stratonovich…Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Numerical Solution of Stochas…Wiener Chaos Expansion and Numerical Solutions of Stochastic Partial Differential Equations (2006)Wiener Chaos Expansion and Nu…New Representations of the Taylor–Stratonovich Expansion (2003)New Representations of the Ta…On the simulation of iterated Itô integrals (2001)On the simulation of iterated…Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions (2001)Joint characteristic function…Random Generation of Stochastic Area Integrals (1994)Random Generation of Stochast…Numerical solution of SDE through computer experiments (1994)Numerical solution of SDE thr…The approximation of multiple stochastic integrals (1992)The approximation of multiple…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…On the relation between ordinary and stochastic differential equations (1965)On the relation between ordin…On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)On the Convergence of Ordinar…Expansion of Iterated Stratonovich Stochastic Integrals of Fifth Multiplicity Based on Generalized Multiple Fourier Series (2018)Expansion of Iterated Straton…Expansion of Iterated Stochastic Integrals with Respect to Martingale Poisson Measures and with Respect to Martingales Based on Generalized Multiple Fourier Series (2018)Expansion of Iterated Stochas…Expansions of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 4, Based on Generalized Multiple Fourier Series (2017)Expansions of Iterated Strato…Hedging of contingent claims under incomplete information (1990)Monte Carlo and Quasi-Monte Carlo Methods (2013)Disentangling the stochastic behavior of complex time series (2016)Consumer Scores and Price Discrimination (2019)Discretization and simulation of stochastic differential equations (1985)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2014)First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems (2021)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)A Wong-Zakai theorem for stochastic PDEs (2015)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)On effects of discretization on estimators of drift parameters for diffusion processes (1996)On solving elliptic stochastic partial differential equations (2002)Equivalent linearization and Monte Carlo simulation in stochastic dynamics (2003)Construction of Equivalent Stochastic Differential Equation Models (2008)Fundamental limitations of polynomial chaos for uncertainty quantification in systems with intermittent instabilities (2013)Wiener's Polynomial Chaos for the Analysis and Control of Nonlinear Dynamical Systems with Probabilistic Uncertainties [Historical Perspectives] (2013)Wiener's Polynomial Chaos for the Analysis and Control of Nonlinear Dynamical Systems with Probabilistic Uncertainties (2013)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1965On the relation between ordinary and stochastic differential equations697 cited
  • 1965On the Convergence of Ordinary Integrals to Stochastic Integrals684 cited
  • 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance465 cited
  • 1994Numerical solution of SDE through computer experiments421 cited
  • 2001Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions133 cited
  • 2006Wiener Chaos Expansion and Numerical Solutions of Stochastic Partial Differential Equations104 cited
  • 1994Random Generation of Stochastic Area Integrals99 cited
  • 1992The approximation of multiple stochastic integrals91 cited
  • 2001On the simulation of iterated Itô integrals47 cited
  • 2019Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series34 cited
  • 2013Multiple Ito and Stratonovich stochastic integrals: approximations, properties, formulas33 cited
  • 2017Expansion of Iterated Ito Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Multiple Fourier Series Converging in the Mean32 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2003New Representations of the Taylor–Stratonovich Expansion29 cited
  • 2018Exact Calculation of the Mean-Square Error in the Method of Approximation of Iterated Ito Stochastic integrals, Based on Generalized Multiple Fourier Series29 cited
  • Cited by

    • 2018Expansion of Iterated Stratonovich Stochastic Integrals of Fifth Multiplicity Based on Generalized Multiple Fourier Series25 cited
    • 2018Expansion of Iterated Stochastic Integrals with Respect to Martingale Poisson Measures and with Respect to Martingales Based on Generalized Multiple Fourier Series25 cited
    • 2017Expansions of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 4, Based on Generalized Multiple Fourier Series24 cited