Kuznetsov, Dmitriy Feliksovich Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs. 3rd edition. (English) Zbl 1528.60002 Differ. Uravn. Protsessy Upr. 2023, No. 1, 947 p. (2023). MSC: 60-02 65-02 35Q62 60H05 60H10 65C30 PDFBibTeX XML Full Text: Link
Kuznetsov, Dmitriy Feliksovich Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs. (English) Zbl 1492.60004 Differ. Uravn. Protsessy Upr. 2021, No. 4, 788 p. (2021). MSC: 60-02 65-02 35Q62 60H05 60H10 65C30 PDFBibTeX XML Full Text: Link Link
Kuznetsov, Dmitriy Feliksovich Strong approximation of iterated Ito and Stratonovich stochastic integrals based on generalized multiple Fourier series. Application to numerical solution of Ito SDEs and semilinear SPDEs. (English) Zbl 1456.65001 Differ. Uravn. Protsessy Upr. 2020, No. 4, 606 p. (2020). MSC: 65-02 60H05 60H10 65C30 65M75 PDFBibTeX XML Full Text: arXiv Link Link
Kuznetsov, D. F. Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion. (English. Russian original) Zbl 1469.65032 Comput. Math. Math. Phys. 60, No. 3, 379-389 (2020); translation from Zh. Vychisl. Mat. Mat. Fiz. 60, No. 3, 379-390 (2020). MSC: 65C30 60H10 PDFBibTeX XMLCite \textit{D. F. Kuznetsov}, Comput. Math. Math. Phys. 60, No. 3, 379--389 (2020; Zbl 1469.65032); translation from Zh. Vychisl. Mat. Mat. Fiz. 60, No. 3, 379--390 (2020) Full Text: DOI arXiv
Kuznetsov, D. F. A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations. (English. Russian original) Zbl 07139676 Comput. Math. Math. Phys. 59, No. 8, 1236-1250 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 8, 1299-1313 (2019). MSC: 65-XX 60-XX PDFBibTeX XMLCite \textit{D. F. Kuznetsov}, Comput. Math. Math. Phys. 59, No. 8, 1236--1250 (2019; Zbl 07139676); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 8, 1299--1313 (2019) Full Text: DOI arXiv
Kuznetsov, Dmitriy Feliksovich Stochastic differential equations: theory and practice of numerical solution. With Matlab programs. 6th revised and expanded edition. (Стохастические дифференциальные уравнения: теория и практика численного решения. С программами в среде Matlab.) (Russian) Zbl 1404.60002 Differ. Uravn. Protsessy Upr. 2018, No. 4, 1073 p., open access (2018). MSC: 60-02 65-02 60H05 60H10 60H35 65C30 PDFBibTeX XML Full Text: Link
Kuznetsov, D. F. Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations. (English. Russian original) Zbl 1483.65016 Comput. Math. Math. Phys. 58, No. 7, 1058-1070 (2018); translation from Zh. Vychisl. Mat. Mat. Fiz. 58, No. 7 (2018). MSC: 65C30 60H05 60H10 PDFBibTeX XMLCite \textit{D. F. Kuznetsov}, Comput. Math. Math. Phys. 58, No. 7, 1058--1070 (2018; Zbl 1483.65016); translation from Zh. Vychisl. Mat. Mat. Fiz. 58, No. 7 (2018) Full Text: DOI arXiv
Kuznetsov, Dmitriy Feliksovich Stochastic differential equations: theory and practice of numerical solution. With Matlab programs. 5th edition. (Стохастические дифференциальные уравнения: теория и практика численного решения. С программами в среде Matlab.) (Russian) Zbl 1368.60004 Differ. Uravn. Protsessy Upr. 2017, No. 2, 1000 p., open access (2017). MSC: 60-02 65-02 60H05 60H10 60H35 65C30 PDFBibTeX XMLCite \textit{D. F. Kuznetsov}, Стохастические дифференциальные уравнения: теория и практика численного решения. С программами в среде Matlab (Russian). 5th edition. St. Petersburg: Sankt-Peterburgskiĭ Gosudarstvennyĭ Politekhnicheskiĭ Universitet (2017; Zbl 1368.60004) Full Text: Link