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Journal of Automation and Information Sciences
SJR: 0.238 SNIP: 0.464 CiteScore™: 0.27

ISSN Imprimer: 1064-2315
ISSN En ligne: 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

RÉSUMÉ

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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