Abstract
In this chapter, it is suggested to use the spectral form of mathematical description for the representation of iterated Itô stochastic integrals of an arbitrary multiplicity. Their modeling is necessary to implement numerical methods for solving stochastic differential equations. An algorithm for modeling the iterated Itô stochastic integrals is discussed. All necessary relations are given when cosines are applied as an orthonormal basis.
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Rybakov, K.A. (2022). Using Spectral Form of Mathematical Description to Represent Iterated Itô Stochastic Integrals. In: Favorskaya, M.N., Nikitin, I.S., Severina, N.S. (eds) Advances in Theory and Practice of Computational Mechanics. Smart Innovation, Systems and Technologies, vol 274. Springer, Singapore. https://doi.org/10.1007/978-981-16-8926-0_22
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DOI: https://doi.org/10.1007/978-981-16-8926-0_22
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