Computer simulations of multiplicative stochastic differential equations (Q751229)
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scientific article; zbMATH DE number 4176412
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| English | Computer simulations of multiplicative stochastic differential equations |
scientific article; zbMATH DE number 4176412 |
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Computer simulations of multiplicative stochastic differential equations (English)
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1991
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The paper presents computer simulations of stochastic differential equations with multiplicative noise. The test equation is given by the Kubo oscillator in the white noise limit. Explicit and implicit numerical schemes are applied, where a semi-implicit method gives the best results.
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stability
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computer simulations
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stochastic differential equations
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multiplicative noise
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Kubo oscillator
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white noise limit
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semi-implicit method
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0.92715967
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0.92715776
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0.9166632
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