Computer simulations of multiplicative stochastic differential equations
computer simulationsKubo oscillatormultiplicative noisesemi-implicit methodstabilitystochastic differential equationswhite noise limit
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)
The paper presents computer simulations of stochastic differential equations with multiplicative noise. The test equation is given by the Kubo oscillator in the white noise limit. Explicit and implicit numerical schemes are applied, where a semi-implicit method gives the best results.
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