Numerical simulation for certain stochastic ordinary differential equations
type: Item
instance of: scholarly article
title: Numerical simulation for certain stochastic ordinary differential equations
zbMATH Open document ID: 0602.65055
DOI: 10.1016/0021-9991(88)90079-4
author: Renato Spigler
published in: Journal of Computational Physics
publication date: 1988-01-01T00:00:00Z
review text: A Monte Carlo simulation approach is presented for solving two problems based on stochastic ordinary differential equations, namely an initial- value problem for a nonlinear ordinary differential equation and a two- point boundary-value problem for a linear equation. The method consists of simulating on the computer several realizations of the random process which appears in the coefficients of the equations, and then computing the average over the corresponding solutions. Since these two problems are related to the same physical problem, we are able to compare the results. Several plots are given to illustrate the results and a discussion of the various kinds of errors which affect the method is presented.
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L10
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 34A34
Mathematics Subject Classification ID: 34B05
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 3972106
zbMATH Keywords: numerical simulation of stochastic equations
zbMATH Keywords: Monte Carlo methods
MaRDI profile type: Publication
full work available at URL: 0021-9991(88)90079-4
OpenAlex ID: W2044112168
cites work: Invariant imbedding method for wave problems
cites work: Q5732992
cites work: Q5569399
cites work: Wave Propagation in a One-Dimensional Random Medium
cites work: Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
description: scientific article; zbMATH DE number 3972106