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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Imprimir: 1064-2315
ISSN En Línea: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v34.i8.40
6 pages

Combined Method of Strong Approximation of Multiple Stochastic Integrals

Dmitriy F. Kuznetsov
St. Peterburg State Technical University, Russia

SINOPSIS

A method of mean square approximation of multiple stochastic integrals, which is a combination of methods based on multiple Fourier series and multiple integral sums, is developed. The mean square convergence of the method is investigated. The method with N = 2 is more economic, than the method of multiple Fourier series.


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