Numerical simulation of nonlinear dynamical systems driven by commutative noise

DOI10.1016/j.jcp.2007.05.024zbMath1125.60070OpenAlexW2095374900MaRDI QIDQ2458556

H. de la Cruz, J. C. Jimenez, F. Carbonell, R. J. Biscay

Publication date: 1 November 2007

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2007.05.024

zbMATH Keywords

conjugacystochastic differential equationsrandom differential equationslocal linearizationnumerical integratorscommutative noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Rate of convergence of local linearization schemes for random differential equations ⋮ Filtering for partially observed diffusion and its applications ⋮ First-order weak balanced schemes for stochastic differential equations ⋮ The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

Uses Software

• Expokit

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