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 |
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| 100 | 2 | |a Horváth Bokor Rózsa | |
| 245 | 1 | 3 | |a On two-step methods for stochastic differential equations |h [elektronikus dokumentum] / |c Horváth Bokor Rózsa |
| 260 | |c 1997 | ||
| 300 | |a 197-207 | ||
| 490 | 0 | |a Acta cybernetica |v 13 No. 2 | |
| 520 | 3 | |a 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. | |
| 650 | 4 | |a Természettudományok | |
| 650 | 4 | |a Számítás- és információtudomány | |
| 695 | |a Számítástechnika, Kibernetika | ||
| 856 | 4 | 0 | |u http://acta.bibl.u-szeged.hu/12586/1/cybernetica_013_numb_002_197-207.pdf |z Dokumentum-elérés |