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自动化与信息科学期刊

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ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Application of Approximation Methods of Iterated Stratonovich and Ito Stochastic Integrals to Numerical Simulation of Controlled Stochastic Systems

卷 31, 册 10, 1999, pp. 70-83
DOI: 10.1615/JAutomatInfScien.v31.i10.100
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摘要

The paper deals with the problem of simulation of the controlled stochastic systems. The method of iterated Ito stochastic integral approximation based on multiple integral sums is proposed. The method of iterated Stratonovich integrals approximation based on multiple Fourier series is also proposed. Approximations of the iterated Stratonovich stochastic integrals by means of polynomial and trigonometric systems are considered. The general formulae of approximations of iterated Stratonovich and Ito stochastic integrals of k multiplicity are derived. The mean-square convergence of the methods described is proved.

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