A new numerical method for SDEs and its application in circuit simulation
type: Item
instance of: scholarly article
title: A new numerical method for SDEs and its application in circuit simulation
zbMATH Open document ID: 0948.65003
DOI: 10.1016/S0377-0427(99)00304-0
author: Christian Penski
published in: Journal of Computational and Applied Mathematics
publication date: 2000-11-13T00:00:00Z
review text: A time discretization method is considered to solve a stochastic Itô differential equation by using Itô-Taylor expansions. The strong convergence order is 1. The method is mean-square stable with respect to a linear test equation. The method is used to circuit simulation.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1423336
zbMATH Keywords: Itô-Taylor-expansions
zbMATH Keywords: time discretization method
zbMATH Keywords: stochastic Itô differential equation
zbMATH Keywords: circuit simulation
zbMATH Keywords: convergence
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
cites work: Q4869528
cites work: Classification and numerical simulation of electric circuits
cites work: Q4004325
cites work: Q4319807
cites work: Stochastic differential equations. An introduction with applications.
cites work: Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits
full work available at URL: s0377-0427(99)00304-0
OpenAlex ID: W2041626520
Wikidata QID: Q128081526
description: scientific article; zbMATH DE number 1423336