Horváth Bokor Rózsa: On two-step methods for stochastic differential equations. In: Acta cybernetica, (13) 2. pp. 197-207. (1997)
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Abstract
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.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Acta cybernetica |
| Date: | 1997 |
| Volume: | 13 |
| Number: | 2 |
| ISSN: | 0324-721X |
| Page Range: | pp. 197-207 |
| Language: | English |
| Place of Publication: | Szeged |
| Related URLs: | http://acta.bibl.u-szeged.hu/38504/ |
| Uncontrolled Keywords: | Számítástechnika, Kibernetika |
| Additional Information: | Bibliogr.: 207. p. ; összefoglalás angol nyelven |
| Subjects: | 01. Natural sciences 01. Natural sciences > 01.02. Computer and information sciences |
| Date Deposited: | 2016. Oct. 15. 12:26 |
| Last Modified: | 2022. Jun. 13. 15:14 |
| URI: | http://acta.bibl.u-szeged.hu/id/eprint/12586 |
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