Numerical solutions of stochastic differential equations - implementation and stability issues
Numerical solutions of stochastic differential equations - implementation and stability issues
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DOI：
10.1016/s0377-0427(00)00467-2
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发表时间：
2000-12-15
影响因子：
2.4
通讯作者：
Mitsui, T
中科院分区：
文献类型：
--
作者：
Burrage, K;Burrage, P;Mitsui, T
随机微分方程(SDE)产生于物理系统中，描述系统的参数只能被估计或受到噪声的影响。近年来，人们在发展求解随机微分方程的数值方法方面做了大量的工作。本文将重点研究稳定问题和变步长实现技术，以有效地数值求解随机微分方程组。(C)2000 Elsevier Science B.V.保留所有权利。
Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.