Statistical analysis of diffusion systems with invariants

DOI10.1515/RNAM-2018-0001zbMATH Open1436.65011OpenAlexW2970859625MaRDI QIDQ1741998FDOQ1741998

K. A. Rybakov, T. A. Averina, E. V. Karachanskaya

Publication date: 11 April 2018

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2018-0001

zbMATH Keywords

stochastic differential equationnumerical methodfirst integralinvariantrandom process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Comparison of a statistical simulation method and a spectral method for analysis of stochastic multistructure systems with distributed transitions
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Cited In (6)

• Rosenbrock-type methods for solving stochastic differential equations
• Using maximum cross section method for filtering jump-diffusion random processes
• STOCHASTIZATION OF CLASSICAL MODELS WITH DYNAMICAL INVARIANTS
• Conference ``Dynamics in Siberia dedicated to the 90th anniversary of B. V. Chirikov, Novosibirsk, Russia, February 26 -- March 4, 2018. Abstracts
• Application of an indicator random process for modeling open stochastic systems
• A modification of numerical methods for stochastic differential equations with the first integral

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