Journal of Automation and Information Sciences
Erscheint 12 Ausgaben pro Jahr
ISSN Druckformat: 1064-2315
ISSN Online: 2163-9337
SJR:
0.173
SNIP:
0.588
CiteScore™::
2
Indexed in
The Three-Step Strong Numerical Methods of the Orders of Accuracy 1.0 and 1.5 for Ito Stochastic Differential Equations
Volumen 34,
Ausgabe 12, 2002,
14 pages
DOI: 10.1615/JAutomatInfScien.v34.i12.30
ABSTRAKT
This work deals with the three-step strong numerical methods of the orders of accuracy 1.0 and 1.5 for Ito stochastic differential equations. We propose the explicit and implicit three-step numerical schemes, as well as the three-step numerical schemes of a Runge-Kutta type. The convergence of the considered numerical methods is proved theoretically and illustrated by numerical experiments.
REFERENZIERT VON
-
Filatova Darya, The Euler schemes for numerical modeling of stochastic differential equations, 2017 International Conference on Information and Digital Technologies (IDT), 2017. Crossref
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