Stochastic differential algebraic equations of index 1 and applications in circuit simulation. (Q5967100)

The author first gives a mathematical foundation of the existence and uniqueness of strong solutions of stochastic differential algebraic equations (SDAEs) of index 1. (An SDAE is of index 1 if the noise terms are not in the constraints and the constraints are globally uniquely solvable for the algebraic variables.) She then develops various classes of drift implicit numerical methods based on Euler, split-step Euler, trapezoidal and Milstein schemes, and their mean square stability properties are studied. Finally, applications to the transient noise simulation of electronic circuits are considered.