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Avtomatika i Telemekhanika, 2019, Issue 5, Pages 99–117
DOI: https://doi.org/10.1134/S0005231019050064 (Mi at15281) 		 
This article is cited in 4 scientific papers (total in 4 papers)

Stochastic Systems

On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence

D. F. Kuznetsov

Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russia
Full-text PDF (658 kB) Citations (4)
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DOI: https://doi.org/10.1134/S0005231019050064
Abstract: Numerical modeling methods with a strong convergence of order 2.5 are developed for the multidimensional dynamic systems under random perturbations described by Itô stochastic differential equations. Special attention is paid to the numerical modeling methods of the multiple Itô stochastic integrals of multiplicities 1–5 in terms of the mean-square convergence criterion, which are required to implement the former methods.
Keywords: multiple Itô stochastic integral, Fourier series, numerical method, mean-square convergence.
Presented by the member of Editorial Board: B. M. Miller

Received: 15.07.2018
Revised: 02.11.2018
Accepted: 08.11.2018
English version:
Automation and Remote Control, 2019, Volume 80, Issue 5, Pages 867–881
DOI: https://doi.org/10.1134/S0005117919050060
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: D. F. Kuznetsov, “On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence”, Avtomat. i Telemekh., 2019, no. 5, 99–117; Autom. Remote Control, 80:5 (2019), 867–881
Citation in format AMSBIB
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    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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