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Development and Application of the Fourier Method for the Numerical Solution of Ito Stochastic Differential Equations

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This paper is devoted to the development and application of the Fourier method to the numerical solution of Ito stochastic differential equations. Fourier series are widely used in various fields of applied mathematics and physics. However, the method of Fourier series as applied to the numerical solution of stochastic differential equations, which are proper mathematical models of various dynamic systems affected by random disturbances, has not been adequately studied. This paper partially fills this gap.

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  1. St. Petersburg Polytechnical University, 195251, St. Petersburg, Russia

    D. F. Kuznetsov

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  1. D. F. Kuznetsov
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Correspondence to D. F. Kuznetsov.

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Translated by A. Klimontovich

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Kuznetsov, D.F. Development and Application of the Fourier Method for the Numerical Solution of Ito Stochastic Differential Equations. Comput. Math. and Math. Phys. 58, 1058–1070 (2018). https://doi.org/10.1134/S0965542518070096

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