A new numerical method for SDEs and its application in circuit simulation

DOI10.1016/S0377-0427(99)00304-0zbMath0948.65003OpenAlexW2041626520WikidataQ128081526 ScholiaQ128081526MaRDI QIDQ1971846

Christian Penski

Publication date: 13 November 2000

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

Full work available at URL: https://doi.org/10.1016/s0377-0427(99)00304-0

zbMATH Keywords

convergencecircuit simulationtime discretization methodItô-Taylor-expansionsstochastic Itô differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Split-step Milstein methods for multi-channel stiff stochastic differential systems ⋮ Mean-square convergence of stochastic multi-step methods with variable step-size ⋮ A stochastic perspective of RL electrical circuit using different noise terms ⋮ DAEs in Circuit Modelling: A Survey ⋮ Stochastic differential algebraic equations of index 1 and applications in circuit simulation. ⋮ Modelling and simulation of transient noise in circuit simulation ⋮ Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise ⋮ Stochastic differential algebraic equations of index 1 and applications in circuit simulation.

Cites Work

• Classification and numerical simulation of electric circuits
• Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits
• Stochastic differential equations. An introduction with applications.
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