On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence

DOI10.1134/S0005117918070056zbMath1400.93285arXiv1802.00888MaRDI QIDQ1792589

D. F. Kuznetsov

Publication date: 12 October 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.00888

zbMATH Keywords

numerical methodFourier seriesmean-square convergenceiterated stochastic Ito integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30)

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