20 citations · 24 across the 2 of their papers we have counts for
3 papers
math.PR2020★ 4 cited
Optimization of the Mean-Square Approximation Procedures for Iterated Ito Stochastic Integrals of Multiplicities 1 to 5 from the Unified Taylor-Ito Expansion Based on Multiple Fourier-Legendre Series
Mikhail D. Kuznetsov, Dmitriy F. Kuznetsov
The article is devoted to optimization of the mean-square approximation procedures for iterated Ito stochastic integrals of multiplicities 1 to 5. The mentioned stochastic integral…
math.PR2020
Implementation of Strong Numerical Methods of Orders 0.5, 1.0, 1.5, 2.0, 2.5, and 3.0 for Ito SDEs with Non-Commutative Noise Based on the Unified Taylor-Ito and Taylor-Stratonovich Expansions and Multiple Fourier-Legendre Series
Mikhail D. Kuznetsov, Dmitriy F. Kuznetsov
The article is devoted to the implementation of strong numerical methods with convergence orders and for Ito stochastic differential equati…
math.PR2020★ 20 cited
Stochastic Differential Equations: Theory and Practice of Numerical Solution. With Programs on PYTHON and MATLAB
Dmitriy F. Kuznetsov, Mikhail D. Kuznetsov
This monograph is devoted to the problem of numerical integration of stochastic differential equations (SDEs), mainly Ito SDEs. More precisely, the book mainly discusses high-order…