No label defined (Q4416804)

The paper develops path integration methods as a numerical tool for the solution of stochastic differential equations. The methods were worked out and applied to calculating the probability density function of the state space vector of nonlinear oscillators driven by stationary Gaussian white noise. In the present paper, the stochastic differential equation with an \(\alpha\)-stable Lévy noise is studied. For a numerical solution of the equation, the authors use a discretization procedure similar to Euler-Maruyama approximation. To improve the accuracy, the Runge-Kutta-Maruyama approximation is suggested. Numerical results are compared with the results of extensive Monte Carlo simulation. It is shown that the number of grid points in the approximation can be kept practically constant for different values of \(\alpha\). This means that the computation time is largely independent of \(\alpha\). For the entire collection see [Zbl 0996.00047].