Geodesic
Exact calculation of the approximation error of multiple Itô stochastic integrals
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 26 (2023) no. 2, pp. 205-213 
K. A. Rybakov. Exact calculation of the approximation error of multiple Itô stochastic integrals. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 26 (2023) no. 2, pp. 205-213. http://geodesic.mathdoc.fr/item/SJVM_2023_26_2_a6/
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Voir la notice de l'article provenant de la source Math-Net.Ru

In the article, formulas for exact calculation of the approximation error of multiple It? 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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