engleski

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 $E|X-Y_N|$ than the One-step method Milstein scheme with orde 1.0 or Two-step Milstein scheme with order 1.0.

Stochastic Differential Equations; Strong solutions; Numerical schemes

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