Pregled bibliografske jedinice broj: 29919
On Two-Step Methods for Stochastic Differential Equations
On Two-Step Methods for Stochastic Differential Equations // Acta cybernetica, 13 (1997), 197-207 (podatak o recenziji nije dostupan, članak, znanstveni)
CROSBI ID: 29919 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
On Two-Step Methods for Stochastic Differential Equations
Autori
Horvath-Bokor, Roža
Izvornik
Acta cybernetica 13
(1997);
197-207
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Stochastic Differential Equations; Strong solutions; Numerical schemes
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
037011
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb
Profili:
Roža Horvat-Bokor
(autor)
Citiraj ovu publikaciju:
Uključenost u ostale bibliografske baze podataka::
- Math. Review
