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Exact Calculation of the Mean-Square Error in the Method of Approximation of Iterated Ito Stochastic integrals, Based on Generalized Multiple Fourier Series

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References

2016Numerical solution of stochastic differential equations5,001 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
2017Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals of Multiplicities 1 to 6 from the Taylor-Ito and Taylor-Stratonovich Expansions Using Legendre Polynomials29 cited

Cited by

2018Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise28 cited
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

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