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Iterated stochastic integrals in infinite dimensions: approximation and error estimates
Work
Year: 2018
Type: article
Abstract: Higher order numerical schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we extend the ... more
Source: Stochastic Partial Differential Equations Analysis and Computations
Authors Claudine Leonhard, Andreas Rößler
Institutions Kiel University, University of Lübeck
Cites: 10
Cited by: 13
Related to: 10
FWCI: 2.743
Citation percentile (by year/subfield): 88.17
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890
Funders Deutsche Forschungsgemeinschaft, Deutsche Forschungsgemeinschaft
Grant IDS DFG GSC 235/2, Cluster of Excellence 80 The Future Ocean