Approximation of Multiple Ito and Stratonovich Stochastic Integrals

ISBN-13: 9783848438556 / Angielski / Miękka / 408 str.

Dmitriy F. Kuznetsov

Opis

This book is the first monograph where the problem of strong (mean-square) approximation of multiple Ito and Stratonovich stochastic integrals is sistematically analyzed in the context of numerical integration of stochastic differential Ito equations. This monograph for the first time successfully use the tool of multiple and iterative Fourier series, built in the space L2 and poitwise, for the strong approximation of multiple stochastic integrals. We obtained a general result connected with expansion of multiple stochastic Ito integrals with any fixed multiplicity k, based on generalized multiple Fourier series converging in the space L2. This result is adapted for multiple Stratonovich stochastic integrals of 1-4 multiplicity for Legendre polynomial system and system of trigonometric functions. This monograph open a new direction in researching of multiple Ito and Stratonovich stochastic integrals. This book will be interesting for specialists dealing with the theory of stochastic processes, applied and computational mathematics, senior students and postgraduates of technical institutes and universities, as well as for computer experts.

O autorze

Dmitriy Kuznetsov was born in 1970. He received his Ph.D. (1996), D.Habil. (2003), full professor(2005) in mathematics at St.Petersburg State Polytechnical University. The problem of numerical solution of the Ito SDE has been the main area of Dmitriy Kuznetsov's research since 1990. On this topic, he has published about 40 papers and several books.