Stochastic differential algebraic equations of index 1 and applications in circuit simulation.

DOI10.1016/j.cam.2003.12.017zbMath1047.65002OpenAlexW4238757113MaRDI QIDQ5967100

Renate Winkler

Publication date: 14 March 2004

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

Full work available at URL: https://doi.org/10.1016/j.cam.2003.12.017

zbMATH Keywords

circuit simulationMilstein schemesmean square numerical stabilitytransient noise analysisstochastic differential algebraic equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for differential-algebraic equations (65L80)

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Nonlinear dynamics and performance analysis of modified snap-through vibration energy harvester with time-varying potential function ⋮ On parameter and state estimation for linear differential--algebraic equations ⋮ On index-2 linear implicit difference equations ⋮ CONVERGENCE ANALYSIS OF THE PSEUDOSPECTRAL METHOD FOR LINEAR DAEs OF INDEX-2 ⋮ On the exponential stability of stochastic perturbed singular systems in mean square ⋮ DAEs in Circuit Modelling: A Survey

Uses Software

• RODAS

Cites Work

• 33 years of numerical instability. I
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• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
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