A new numerical method for SDEs and its application in circuit simulation (Q1971846)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1423336
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new numerical method for SDEs and its application in circuit simulation |
scientific article; zbMATH DE number 1423336 |
Statements
A new numerical method for SDEs and its application in circuit simulation (English)
0 references
13 November 2000
0 references
A time discretization method is considered to solve a stochastic Itô differential equation by using Itô-Taylor expansions. The strong convergence order is 1. The method is mean-square stable with respect to a linear test equation. The method is used to circuit simulation.
0 references
Itô-Taylor-expansions
0 references
time discretization method
0 references
stochastic Itô differential equation
0 references
circuit simulation
0 references
convergence
0 references
0.7924537062644958
0 references
0.7921654582023621
0 references
0.7917646765708923
0 references
