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Avtomat. i Telemekh., Accepted (Mi at15099)  

ON NUMERICAL MODELING OF THE MULTIDIMENSIONAL DYNAMIC SYSTEMS UNDER RANDOM PERTURBATIONS WITH THE 2.5 ORDER OF STRONG CONVERGENCE

D. F. Kuznetsov


Abstract: The paper was devoted to developing numerical method with the order 2.5 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 stochastic integrals of multiplicities 1 to 5 that are required to realize the aforementioned numerical method.

Keywords: iterated stochastic Ito integral, Fourier series, numerical method, mean-square convergence

Presented by the member of Editorial Board: Б. М. Миллер

Received: 15.07.2018

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