A new numerical method for SDEs and its application in circuit simulation (Q1971846)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new numerical method for SDEs and its application in circuit simulation |
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A new numerical method for SDEs and its application in circuit simulation (English)
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13 November 2000
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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.
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Itô-Taylor-expansions
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time discretization method
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stochastic Itô differential equation
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circuit simulation
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convergence
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