DMITRIY

FELIKSOVICH

KUZNETSOV

DOCTOR OF PHYSICO - MATHEMATICAL SCIENCES, PROFESSOR (DEPARTMENT OF MATHEMATICS, INSTITUTE OF APPLIED MATHEMATICS AND MECHANICS, PETER THE GREAT SAINT-PETERSBURG POLYTECHNIC UNIVERSITY, RUSSIA). SINCE 1990, I HAVE BEEN WORKING ON THE PROBLEMS OF NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS AND STRONG APPROXIMATION OF ITERATED ITO AND STRATONOVICH STOCHASTIC INTEGRALS

NEW THEORY OF THE 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. 2021, 1456 P. (27 ARXIV.ORG ARTICLES)
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. 2021, 636 P. (MONOGRAPH)
STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND PRACTICE OF NUMERICAL SOLUTION. WITH MATLAB PROGRAMS. 2018, 1073 P. (MONOGRAPH)
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