Journal of Automation and Information Sciences
Publication de 12 numéros par an
ISSN Imprimer: 1064-2315
ISSN En ligne: 2163-9337
SJR:
0.173
SNIP:
0.588
CiteScore™::
2
Indexed in
Mean Square Approximation of Solutions of Stochastic Differential Equations Using Legendre's Polynomials
Volume 32,
Numéro 12, 2000,
pp. 69-86
DOI: 10.1615/JAutomatInfScien.v32.i12.80
RÉSUMÉ
We consider approximation for iterated Stratonovich stochastic integrals using multiple Fourier series in terms of Legendre polynomials. We have obtained approximations of stochastic integrals of the multiplicity 1−5. We consider root-mean-square convergence of approximation of iterated stochastic integrals.
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