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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

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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
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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
  1. 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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