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/v| than the One-step Milstein scheme with order 1.0 or Two-step Milstein scheme w...

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Bibliographic Details
Main Author: Horváth Bokor Rózsa
Format: Article
Published: 1997
Series:Acta cybernetica 13 No. 2
Kulcsszavak:Számítástechnika, Kibernetika
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Online Access:http://acta.bibl.u-szeged.hu/12586
Description
Summary: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.
Physical Description:197-207
ISSN:0324-721X