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Avtomatika i Telemekhanika, 2018, Issue 7, Pages 80–98
(Mi at15108)
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This article is cited in 11 scientific papers (total in 11 papers)
Stochastic Systems
On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
D. F. Kuznetsov Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russia
Abstract:
The paper was devoted to developing numerical methods with the orders 1.5 and 2.0 of strong convergence for the multidimensional dynamic systems under random perturbations obeying stochastic differential Ito equations. Under the assumption of a special mean-square convergence criterion, attention was paid to the methods of numerical modeling of the iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 4 that are required to realize the aforementioned numerical methods.
Keywords:
iterated stochastic Ito integral, Fourier series, numerical method, mean-square convergence.
Citation:
D. F. Kuznetsov, “On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence”, Avtomat. i Telemekh., 2018, no. 7, 80–98; Autom. Remote Control, 79:7 (2018), 1240–1254
Linking options:
https://www.mathnet.ru/eng/at15108 https://www.mathnet.ru/eng/at/y2018/i7/p80
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Abstract page: | 328 | Full-text PDF : | 82 | References: | 48 | First page: | 12 |
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