Applying spectral form of mathematical description for representation of iterated stochastic integrals
Author(s):
Konstantin Rybakov
Moscow Aviation Institute (National Research University)
rkoffice@mail.ru
Abstract:
The article describes some aspects for applying the spectral form of mathematical description,
which is used for the control systems analysis and synthesis, for the representation of iterated
stochastic second multiplicity integrals with respect to the numerical solution of stochastic
differential equations. It is proposed to use the spectral characteristics of the integration
operator (two-dimensional nonstationary transfer functions of the integrator) defined by different
orthonormal function systems: Legendre polynomials, cosines, Walsh and Haar functions,
as well as the trigonometric Fourier basis.
Keywords
- iterated stochastic integrals
- Levi area
- Milstein method
- orthogonal expansion
- orthonormal functions
- spectral form of mathematical description
- spectral method
- stochastic differential equation
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