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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2001 Volume 278, Pages 141–158 (Mi znsl1438)

This article is cited in 4 papers

New representations of the Taylor–Stratonovich expansion

D. F. Kuznetsov

Saint-Petersburg State Polytechnical University

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 minimal quantity of different types of multiple Stratonowich stochastic integrals. Therefore, these representations are more convenient for constructing algorithms of numerical solution of stochastic differential Itô equations.

UDC: 519.2

Received: 29.10.2000


 English version:
Journal of Mathematical Sciences (New York), 2003, 118:6, 5586–5596

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