Construction and use of stochastic differential equation solution numerical methods

Stability and co-ordination of numerical methods from the family of stochastic differential equation (SDE) solution numerical methods have been investigated. Some numerical methods with stability good properties have been constructed as well as the changing step algorithm for the SDE solution. Comparison of the constructed numerical methods has been held. Synthesis problem of the non-linear system control have been solved as well as problems of impurity transfer in surface layers of seas and oceans. Stationary non-Gauss processes with the given probabilistic characteristics have been constructedAvailable from VNTIC / VNTIC - Scientific & Technical Information Centre of RussiaSIGLERURussian Federatio