New frequency characteristics of the numerical solution of stochastic differential equations

DOI10.1134/S1995423915010024zbMath1340.65005OpenAlexW2078737757MaRDI QIDQ3192553

Aleksandr Aleksandrovich Ivanov, S. S. Artem'ev, Dmitrii D. Smirnov

Publication date: 12 October 2015

Published in: Numerical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995423915010024

zbMATH Keywords

stochastic differential equationnumerical experimentsgeneralized Euler methodcumulative frequency curvefrequency phase portrait

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Analysis of the influence of random noise on self-oscillating chemical reactions by the Monte-Carlo method on supercomputers ⋮ Analysis of the stochastic motion of a charged particle in a magnetic field by the Monte Carlo method on supercomputers ⋮ Analysis of the Effect of Random Noise on Synchronization in a System of Two Coupled Duffing Oscillators

Uses Software

• PARMONC

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