Finite-Difference Strong Numerical Methods of Order 1.5 and 2.0 for Stochastic Differential Ito Equations with Nonadditive Multidimensional Noise

Dmitriy F. Kuznetsov

doi:10.1615/JAutomatInfScien.v33.i5-8.180

Journal of Automation and Information Sciences

Chefredakteur: Arkadiy A. Chikriy (open in a new tab)

Mitherausgebers: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

Erscheint 12 Ausgaben pro Jahr

ISSN Druckformat: 1064-2315

ISSN Online: 2163-9337

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Finite-Difference Strong Numerical Methods of Order 1.5 and 2.0 for Stochastic Differential Ito Equations with Nonadditive Multidimensional Noise

Volumen 33, Ausgabe 5-8, 2001, 13 pages

DOI: 10.1615/JAutomatInfScien.v33.i5-8.180

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

ABSTRAKT

The paper is devoted to construction of strong numerical methods of the Runge-Kutta type of order 1.5 and 2.0 for Ito stochastic differential equations. Explicit and implicit one-step and implicit two-step strong numerical schemes are presented.

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