On two-step methods for stochastic differential equations
The paper introduces a new two-step method. Its order of strong convergence is proved. In the approximation of solutions of some stochastic differential equations, this multistep method converges faster in mean E\X — Y/v| than the One-step Milstein scheme with order 1.0 or Two-step Milstein scheme w...
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
1997
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| Sorozat: | Acta cybernetica
13 No. 2 |
| Kulcsszavak: | Számítástechnika, Kibernetika |
| Tárgyszavak: | |
| Online Access: | http://acta.bibl.u-szeged.hu/12586 |
| Tartalmi kivonat: | The paper introduces a new two-step method. Its order of strong convergence is proved. In the approximation of solutions of some stochastic differential equations, this multistep method converges faster in mean E\X — Y/v| than the One-step Milstein scheme with order 1.0 or Two-step Milstein scheme with order 1.0. |
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| Terjedelem/Fizikai jellemzők: | 197-207 |
| ISSN: | 0324-721X |