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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

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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
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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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