Adaptive stepsize based on control theory for stochastic differential equations
نویسندگان
چکیده
منابع مشابه
A Variable Stepsize Implementation for Stochastic Differential Equations
Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge–Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this fo...
متن کاملStepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
Abstract. A strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the p-th mean of local errors. The strategy leads to stepsize sequences that are identical for all computed paths. For the family of Euler schemes for SDEs with small noise we derive computable estimates for the dominating term of the...
متن کاملComputational method based on triangular operational matrices for solving nonlinear stochastic differential equations
In this article, a new numerical method based on triangular functions for solving nonlinear stochastic differential equations is presented. For this, the stochastic operational matrix of triangular functions for It^{o} integral are determined. Computation of presented method is very simple and attractive. In addition, convergence analysis and numerical examples that illustrate accuracy and eff...
متن کاملglobal results on some nonlinear partial differential equations for direct and inverse problems
در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
Computational Method for Fractional-Order Stochastic Delay Differential Equations
Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2004
ISSN: 0377-0427
DOI: 10.1016/j.cam.2004.01.027