Computer simulations of multiplicative stochastic differential equations
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stabilitymultiplicative noisestochastic differential equationscomputer simulationssemi-implicit methodKubo oscillatorwhite noise limit
Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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Cites work
- scientific article; zbMATH DE number 1544182 (Why is no real title available?)
- scientific article; zbMATH DE number 3999169 (Why is no real title available?)
- scientific article; zbMATH DE number 3272009 (Why is no real title available?)
- A survey of numerical methods for stochastic differential equations
- Algorithm 488: A Gaussian pseudo-random number generator
- Discretization and simulation of stochastic differential equations
- Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
- Numerical Integration of Stochastic Differential Equations
- Numerical Solution of Ito Integral Equations
- Numerical integration of the Langevin equation: Monte Carlo simulation
- On the gap between deterministic and stochastic ordinary differential equations
- The Fokker-Planck equation. Methods of solution and applications
- Weak Approximation of Solutions of Systems of Stochastic Differential Equations
Cited in
(16)- scientific article; zbMATH DE number 6815834 (Why is no real title available?)
- Robust algorithms for solving stochastic partial differential equations
- On the numerical discretisation of stochastic oscillators
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations
- Simulations of quantum dynamics with fermionic phase-space representations using numerical matrix factorizations as stochastic gauges
- Computer simulation of diffusions driven by \(\alpha\)-stable Lévy motion
- Numerical simulations for stochastic lattice equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical simulations of generalized Langevin equations with deeply asymptotic parameters
- scientific article; zbMATH DE number 4028851 (Why is no real title available?)
- Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
- Stochastic simulations of fermionic dynamics with phase-space representations
- A tractable prescription for large-scale free flight expansion of wavefunctions
- Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus
- Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise
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