Borítókép a Approximation of Multiple Ito and Stratonovich Stochastic Integrals - hoz
Könyv címe:

Approximation of Multiple Ito and Stratonovich Stochastic Integrals

Multiple Fourier Series Approach

LAP LAMBERT Academic Publishing (12.03.2012 )

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ISBN-13:

978-3-8484-3855-6

ISBN-10:
3848438550
EAN:
9783848438556
Könyv nyelve:
angol
Ismertető:
This book is the first monograph where the problem of strong (mean-square) approximation of multiple Ito and Stratonovich stochastic integrals is sistematically analyzed in the context of numerical integration of stochastic differential Ito equations. This monograph for the first time successfully use the tool of multiple and iterative Fourier series, built in the space L2 and poitwise, for the strong approximation of multiple stochastic integrals. We obtained a general result connected with expansion of multiple stochastic Ito integrals with any fixed multiplicity k, based on generalized multiple Fourier series converging in the space L2. This result is adapted for multiple Stratonovich stochastic integrals of 1-4 multiplicity for Legendre polynomial system and system of trigonometric functions. This monograph open a new direction in researching of multiple Ito and Stratonovich stochastic integrals. This book will be interesting for specialists dealing with the theory of stochastic processes, applied and computational mathematics, senior students and postgraduates of technical institutes and universities, as well as for computer experts.
Kiadó:
LAP LAMBERT Academic Publishing
Weboldal:
https://www.lap-publishing.com/
Szerezte:
Dmitriy F. Kuznetsov
Oldalszám:
408
Kiadja:
12.03.2012
Raktárkészlet:
Raktáron
Kategória:
Matematika
Ár:
79,00 €
Kulcsszavak:
multiple stochastic Ito integral, multiple stochastic Stratonovich integral, strong approximation, multiple Fourier series, stochastic differential Ito equation, Taylot-Ito expansion, Taylor-Stratonovich expansion, Numerical method

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