New Representations of the Taylor–Stratonovich Expansion |
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Authors: | D. F. Kuznetsov |
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Affiliation: | (1) St.Petersburg State Technical University, Russia |
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Abstract: | The problem of the Taylor–Stratonovich expansion of the Itô random processes in a neighborhood of a point is considered. The usual form of the Taylor–Stratonovich expansion is transformed to a new representation, which includes the minimal quantity of different types of multiple Stratonovich stochastic integrals. Therefore, these representations are more convenient for constructing algorithms of numerical solution of stochastic differential Itô equations. Bibliography: 14 titles. |
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