Some experiments on numerical simulations of stochastic differential equations and a new algorithm

DOI10.1006/jcph.1994.1119zbMath0807.65148OpenAlexW2145207490MaRDI QIDQ1335598

Wesley P. Petersen

Publication date: 17 October 1994

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jcph.1994.1119

zbMATH Keywords

Brownian motionnumerical experimentsMonte Carlo simulationstest problemsItô stochastic differential equationsRunge- Kutta type method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method. ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems ⋮ Almost sure asymptotic stability and convergence of stochastic Theta methods applied to systems of linear SDEs in ⋮ Mean-square stability properties of an adaptive time-stepping SDE solver ⋮ Numerical simulation of randomly forced turbulent flows ⋮ A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations

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