20 citations · 24 across the 2 of their papers we have counts for
4 papers · 1 filter
A New Modifications of the Milstein and Euler Methods and the Taylor-Ito Expansion for Ito Stochastic Differential Equations with Drift and Diffusion Coefficients Having Non-Differentiable or Singular Time-Dependent Multipliers
Dmitriy F. Kuznetsov, Mikhail D. Kuznetsov
The article presents a new modifications of the Milstein and Euler methods for systems of Ito stochastic differential equations with drift and diffusion coefficients having differe…
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…
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…
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…