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

ISSN Druckformat: 1064-2315
ISSN Online: 2163-9337

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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v34.i12.30
14 pages

The Three-Step Strong Numerical Methods of the Orders of Accuracy 1.0 and 1.5 for Ito Stochastic Differential Equations

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

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.


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