Exact calculation of the approximation error of multiple ItГґ stochastic integrals
K.A. Rybakov
Moscow Aviation Institute, Moscow, Russia
Keywords: approximation, orthogonal expansion, multiple stochastic integral, numerical method, stochastic differential equations
Abstract
In the article, formulas for exact calculation of the approximation error of multiple Itô stochastic integrals based on their orthogonal expansion are obtained. As an example, stochastic Itô integrals with multiplicities 2-4 are considered, which are used in the numerical methods for solving stochastic differential equations with orders of strong convergence 1-2.
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