Affiliation:
1. Department of Mathematical Cybernetics, Moscow Aviation Institute (National Research University), 125993 Moscow, Russia
Abstract
Spectral representations of iterated Itô and Stratonovich stochastic integrals of arbitrary multiplicity, including integrals from Taylor–Itô and Taylor–Stratonovich expansions, are obtained by the spectral method. They are required for the implementation of numerical methods for solving Itô and Stratonovich stochastic differential equations with high orders of mean-square and strong convergence. The purpose of such numerical methods is the modeling of nonlinear stochastic dynamics in many fields. This paper contains necessary theoretical results, as well as the results of numerical experiments.
Subject
General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)
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