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Avtomat. i Telemekh., 2018, Issue 7, Pages 80–98 (Mi at15108)  

This article is cited in 5 scientific papers (total in 5 papers)

Stochastic Systems

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

D. F. Kuznetsov

Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russia

Abstract: 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.

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English version:
Automation and Remote Control, 2018, 79:7, 1240–1254

Bibliographic databases:

Presented by the member of Editorial Board: М. М. Хрусталев

Received: 29.09.2017

Citation: D. F. Kuznetsov, “On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence”, Avtomat. i Telemekh., 2018, no. 7, 80–98; Autom. Remote Control, 79:7 (2018), 1240–1254

Citation in format AMSBIB
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\by D.~F.~Kuznetsov
\paper On numerical modeling of the multidimensional dynamic systems under random perturbations with the~1.5 and~2.0 orders of strong convergence
\jour Avtomat. i Telemekh.
\yr 2018
\issue 7
\pages 80--98
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\elib{https://elibrary.ru/item.asp?id=35219710}
\transl
\jour Autom. Remote Control
\yr 2018
\vol 79
\issue 7
\pages 1240--1254
\crossref{https://doi.org/10.1134/S0005117918070056}
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\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85050160039}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. E. N. Desyatirikova, A. V. Vasilenko, A. V. Polukazakov, V. E. Mager, L. V. Chernenkaya, “Structural synthesis of a dynamic system control algorithm based on the separation of electromagnetic and electromechanical movements”, Proceedings of the 2019 IEEE Conference of Russian Young Researchers in Electrical and Electronic Engineering (Eiconrus), IEEE Nw Russia Young Researchers in Electrical and Electronic Engineering Conference, IEEE, 2019, 471–473  isi
    2. E. N. Desyatirikova, V. I. Akimov, D. V. Sysoev, V. E. Mager, L. V. Chernenkaya, “Selection of controller settings in digital control systems”, Proceedings of the 2019 IEEE Conference of Russian Young Researchers in Electrical and Electronic Engineering (Eiconrus), IEEE Nw Russia Young Researchers in Electrical and Electronic Engineering Conference, IEEE, 2019, 474–477  isi
    3. D. F. Kuznetsov, “On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence”, Autom. Remote Control, 80:5 (2019), 867–881  mathnet  crossref  crossref  isi  elib
    4. T. Polteva, D. Antipov, N. Klassen, “The improvement of the market risk management mechanism at the automotive industry enterprises”, Proceedings 2019 Amity International Conference on Artificial Intelligence (Aicai), eds. S. Khatri, A. Rana, P. Kapur, IEEE, 2019, 1005–1014  crossref  isi
    5. K. A. Rybakov, “Spectral method of analysis and optimal estimation in linear stochastic systems”, Int. J. Model. Simul. Sci. Comput., 11:3 (2020), 2050022  crossref  isi  scopus
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