Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits

DOI10.1016/S0377-0427(98)00138-1zbMath0928.65014MaRDI QIDQ1298671

O. Schein, Georg Denk

Publication date: 13 January 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential-algebraic equationssemiconductor modellingimplicit two-step methodmicroelectronic circuitstransient noise simulation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for differential-algebraic equations (65L80)

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Uses Software

• RODAS

Cites Work

• Stochastic differential equations. An introduction with applications
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Canonical projectors for linear differential algebraic equations
• Adams methods for the efficient solution of stochastic differential equations with additive noise
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