Mykhaylo Evstigneev

Self-Similar Factor Stabilization of Weak Third Order Explicit Integration of Stochastic Differential Equations with Additive Noise

A third-order weak stochastic Taylor expansion (WSTE) is derived for systems driven by additive Gaussian noise with an invertible noise-coupling matrix. In contrast to the classical Kloeden–Platen construction, the present expansion employs a single Gaussian vector whose dimensionality matches that of the state variabl...