On the low-dimensional modelling of Stratonovich stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations
This paper gives a modification of a class of stochastic Runge-Kutta methods proposed in a paper by Komori (2007). The slight modification can reduce the computational costs of the methods significantly.
متن کاملNumerical Treatment of Geodesic Differential Equations on Two Dimensional Surfaces
This paper presents a brief instructions to nd geodesics equa-tions on two dimensional surfaces in R3. The resulting geodesic equations are solved numerically using Computer Program Matlab, the geodesics are dis-played through Figures.
متن کاملWeak second order S-ROCK methods for Stratonovich stochastic differential equations
It is well known that the numerical solution of stiff stochastic ordinary differential equations leads to a step size reduction when explicit methods are used. This has led to a plethora of implicit or semi-implicit methods with a wide variety of stability properties. However, for stiff stochastic problems in which the eigenvalues of a drift term lie near the negative real axis, such as those a...
متن کاملStochastic differential equations and integrating factor
The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.
متن کاملStochastic Differential Equations and Low Discrepancy Sequences
In these lecture notes we discuss the simulation of stochastic differential equations (SDEs) and low-discrepancy sequences (LDS). The simulation of SDE’s is often necessary in pricing and risk management applications. Low discrepancy sequences have also become popular a commonly used tool with many applications, particularly when regular MC methods are too demanding from a computational viewpoint.
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: Physica A: Statistical Mechanics and its Applications
سال: 1996
ISSN: 0378-4371
DOI: 10.1016/0378-4371(95)00387-8