Second-order algorithm for simulating stochastic differential equations with white noises

DOI10.1016/j.physa.2019.03.112OpenAlexW2933430613WikidataQ128139606 ScholiaQ128139606MaRDI QIDQ2159628

Wei-Long Duan, Hui Fang, Chunhua Zeng

Publication date: 2 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.03.112

zbMATH Keywords

stochastic differential equationGaussian white noisesecond-order algorithm

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites Work

• Noise-delayed decay in the response of a scale-free neuronal network
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Some analytic approximations for neutral stochastic functional differential equations
• Numerical simulations of stochastic differential equations
• Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
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