On Numerical Modeling of the Multidimensional Dynamic Systems under Random Perturbations with the 1.5 and 2.0 Orders of Strong Convergence

The paper was devoted to developing numerical methods with the orders 1.5 and 2.0 of strong convergence for the multidimensional dynamic systems under random perturbations obeying stochastic differential Ito equations. Under the assumption of a special mean-square convergence criterion, attention was paid to the methods of numerical modeling of the iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 4 that are required to realize the aforementioned numerical methods.

Keywords

Iterated stochastic Ito integral, Fourier series, numerical method, mean-square convergence

Received

29.09.2018

Publication date

29.09.2018

Number of characters

460

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GOST	Kuznetsov D. On Numerical Modeling of the Multidimensional Dynamic Systems under Random Perturbations with the 1.5 and 2.0 Orders of Strong Convergence // Avtomatika i Telemekhanika – 2018. – Issue 7 C. 80-98 [Electronic resource]. URL: http://ras.jes.su/ait/s000523100000268-8-1-en (circulation date: 23.03.2025). DOI: 10.31857/S000523100000268-8
MLA	Kuznetsov, D. "On Numerical Modeling of the Multidimensional Dynamic Systems under Random Perturbations with the 1.5 and 2.0 Orders of Strong Convergence." Avtomatika i Telemekhanika 7 (2018):80-98. DOI: 10.31857/S000523100000268-8
APA	Kuznetsov D. (2018). On Numerical Modeling of the Multidimensional Dynamic Systems under Random Perturbations with the 1.5 and 2.0 Orders of Strong Convergence. Avtomatika i Telemekhanika (7), pp.80-98 DOI: 10.31857/S000523100000268-8

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