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Journal of Automation and Information Sciences

Publicado 12 números por año

ISSN Imprimir: 1064-2315

ISSN En Línea: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Finite-Difference Strong Numerical Methods of Order 1.5 and 2.0 for Stochastic Differential Ito Equations with Nonadditive Multidimensional Noise

Volumen 33, Edición 5-8, 2001, 13 pages
DOI: 10.1615/JAutomatInfScien.v33.i5-8.180
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SINOPSIS

The paper is devoted to construction of strong numerical methods of the Runge-Kutta type of order 1.5 and 2.0 for Ito stochastic differential equations. Explicit and implicit one-step and implicit two-step strong numerical schemes are presented.

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