Abstract

<p>Representations of iterated Stratonovich and Ito stochastic integrals are obtained on the basis of the spectral form of mathematical description, they have both theoretical and practical significance. The latter is due to the possibility of constructing quite simple algorithms for the approximate modeling iterated stochastic integrals, which are necessary for the implementation of numerical methods for solving stochastic differential equations. The use of spectral representations of iterated stochastic integrals in numerical methods forms the numerical-spectral methods. Algorithms for them are presented in the form of programs for the computer algebra system Mathcad.</p>

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.