To Numerical Modeling With Strong Orders 1.0, 1.5, and 2.0 of Convergence for Multidimensional Dynamical Systems With Random Disturbances

Abstract

The article is devoted to explicit one-step numerical methods with strong orders 1.0, 1.5, and 2.0 of convergence for Ito stochastic differential equations with multidimensional and non-commutative noise. For numerical modeling of iterated Ito stochastic integrals with multiplicities 1 to 4 we use the method of multiple Fourier-Legendre series converging in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k=1,2,3,4.$ The article is addressed to engineers who use numerical modeling in stochastic control and for solving the nonlinear filtering problem.