Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems

DOI10.1016/J.APM.2015.06.011MaRDI QIDQ2289976zbMATH OpenOpenAlexWikidataFDO

Authors Saikat Sarkar, Debasish Roy

Publication date 27 January 2020

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2015.06.011

zbMATH Keywords

Euler-Maruyama methodchange of measuresintegration errornonlinear stochastic dynamical systemsweak correction

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random vibrations in mechanics of particles and systems (70L05)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
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• A new numeric-analytical principle for nonlinear deterministic and stochastic dynamical systems
• A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems
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• A stochastic Newmark method for engineering dynamical systems
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• Continuous Markov processes and stochastic equations
• Cylindrical Wiener processes
• Element‐free Galerkin methods
• Exact simulation of diffusions
• Explorations of a family of stochastic Newmark methods in engineering dynamics
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Stochastic linearization: the theory
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The Power Spectral Density Of Response For A Strongly Non-linear Random Oscillator

Cited in

(2)

• Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
• An Ito-Taylor weak 3.0 method for stochastic dynamics of nonlinear systems

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