THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION

DOI10.1142/S021812749100021XzbMath0876.65097OpenAlexW2008215092MaRDI QIDQ4348388

Henri Schurz, Eckhard Platen, Peter E. Kloeden

Publication date: 4 December 1997

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021812749100021x

zbMATH Keywords

stability stochastic Taylor expansion stochastic differential equations Lyapunov exponents stiffness stochastic dynamical systems functional approximations pathwise approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Probabilistic methods, stochastic differential equations (65C99)

Related Items (19)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations ⋮ An error corrected Euler-Maruyama method for stiff stochastic differential equations ⋮ Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs ⋮ Final state sensitivity in noisy chaotic scattering ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ A mesh free stochastic algorithm for solving diffusion-convection-reaction equations on complicated domains ⋮ Unnamed Item ⋮ Pathological tremors: Deterministic chaos or nonlinear stochastic oscillators? ⋮ A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise ⋮ A new instrumental variable estimation for diffusion processes ⋮ Modeling Noisy Time Series: Physiological Tremor ⋮ Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise. ⋮ Chebyshev spectral collocation method for stochastic delay differential equations ⋮ An improved Milstein method for stiff stochastic differential equations ⋮ Trapping enhanced by noise in nonhyperbolic and hyperbolic chaotic scattering ⋮ Noise activates escapes in closed Hamiltonian systems ⋮ A Kolmogorov-Fokker-Planck approach for a stochastic Duffing-van der Pol system ⋮ Parameter estimation in nonlinear stochastic differential equations

This page was built for publication: THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION