Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations

We present some iterative methods of different convergence orders for solving systems of nonlinear equations. Their computational complexities are studies. Then, we introduce the method of finite difference for solving stochastic differential equations of Itô-type. Subsequently, our multi-step iterative schemes are employed in this procedure. Several experiments are finally taken into account to show that the presented approach and methods work well.

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