Development and Application of the Fourier Method for the Numerical Solution of Ito Stochastic Differential Equations
- 作者: Kuznetsov D.F.1
-
隶属关系:
- St. Petersburg Polytechnical University
- 期: 卷 58, 编号 7 (2018)
- 页面: 1058-1070
- 栏目: Article
- URL: https://journal-vniispk.ru/0965-5425/article/view/179701
- DOI: https://doi.org/10.1134/S0965542518070096
- ID: 179701
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详细
This paper is devoted to the development and application of the Fourier method to the numerical solution of Ito stochastic differential equations. Fourier series are widely used in various fields of applied mathematics and physics. However, the method of Fourier series as applied to the numerical solution of stochastic differential equations, which are proper mathematical models of various dynamic systems affected by random disturbances, has not been adequately studied. This paper partially fills this gap.
作者简介
D. Kuznetsov
St. Petersburg Polytechnical University
编辑信件的主要联系方式.
Email: sde_kuznetsov@inbox.ru
俄罗斯联邦, St. Petersburg, 195251
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