Numerical solution of differential equations with colored noise

DOI10.1007/BF02179457zbMath0839.60058OpenAlexW2010687750MaRDI QIDQ1906436

Yanyan Li

Publication date: 16 June 1996

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02179457

zbMATH Keywords

numerical methodsstochastic differential equationscolored noise

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Smooth coarse-graining and colored noise dynamics in stochastic inflation ⋮ Probabilistic Density Function Method for Stochastic ODEs of Power Systems with Uncertain Power Input ⋮ Coloured noise from stochastic inflows in reaction-diffusion systems ⋮ Fractional discrete Temimi-Ansari method with singular and nonsingular operators: applications to electrical circuits ⋮ Power law statistics in the velocity fluctuations of Brownian particle in inhomogeneous media and driven by colored noise ⋮ Descriptions, Discretizations, and Comparisons of Time/Space Colored and White Noise Forcings of the Navier--Stokes Equations

Cites Work

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• Discretization and simulation of stochastic differential equations
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• Statistical physics II. Nonequilibrium statistical mechanics.
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations

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