A Lagrangian scheme for numerical evaluation of the noncausal stochastic integral

Author:

Ogawa ShigeyoshiORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Engineering

Reference12 articles.

1. Clark, J., Cameron, R.: The maximum rate of convergence of discrete approximations for stochastic differential equations. In: Grigelionis, B. (ed.) Stochastic Differential Systems Filtering and Control. Lecture Notes in Control and Information Sciences, vol. 25. Springer, Berlin, Heidelberg (1980)

2. Kythe, P., Schäferkotter, M.: Handbook of Computational Methods for Integration. Chapman & Hall/CRC Press, Boca Raton (2005)

3. Ogawa, S.: Direct inversion formulas for the natural SFT. Sankhya A (2018). https://doi.org/10.1007/s13171-018-0128-8 . (ISSN 0976-836X)

4. Ogawa, S.: Noncausal Stochastic Calculus (Monograph). Springer, Berlin (2017). https://doi.org/10.1007/978-4-431-56576-5

5. Ogawa, S.: SDE no suuti kaihou 2nd part of Chap 15 In: Watanabe, S. (ed.) Kakurituron hando bukku (in japanese). Kinokuniya (2017). ISBN 9784621065174

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