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Seminar-Ito-Taylor Methods for Numerical approximation of Stochastic Differential Equations

MS Teams 13 OCT 20203 PM

Abstract

We present numerical solution for “Ito” stochastic differential equations with multidimensional additive noise. Based on the unified stochastic It\^o-Taylor expansion, we construct a family of explicit one-step numerical methods with strong orders of convergence 0.5, 1, 1.5 and 2.0. For numerical modeling of iterated Ito stochastic integral, we apply the method of multiple Fourier series, converging in the mean-square.


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