Computer simulations of multiplicative stochastic differential equations

DOI10.1016/0021-9991(91)90077-XzbMATH Open0714.65107MaRDI QIDQ751229FDOQ751229

Authors: I. K. Mortimer, P. D. Drummond 

Publication date: 1991

Published in: Journal of Computational Physics (Search for Journal in Brave)

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zbMATH Keywords

stabilitymultiplicative noisestochastic differential equationscomputer simulationssemi-implicit methodKubo oscillatorwhite noise limit

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cites Work

• On the gap between deterministic and stochastic ordinary differential equations
• Discretization and simulation of stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Title not available (Why is that?)
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• The Fokker-Planck equation. Methods of solution and applications
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• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Numerical integration of the Langevin equation: Monte Carlo simulation
• Numerical Integration of Stochastic Differential Equations
• Algorithm 488: A Gaussian pseudo-random number generator
• Numerical Solution of Ito Integral Equations

Cited In (16)

• Title not available (Why is that?)
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Simulations of quantum dynamics with fermionic phase-space representations using numerical matrix factorizations as stochastic gauges
• Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations
• Robust algorithms for solving stochastic partial differential equations
• On the numerical discretisation of stochastic oscillators
• Numerical simulations for stochastic lattice equations
• Computer simulation of diffusions driven by \(\alpha\)-stable Lévy motion
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Numerical simulations of generalized Langevin equations with deeply asymptotic parameters
• Title not available (Why is that?)
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
• Stochastic simulations of fermionic dynamics with phase-space representations
• A tractable prescription for large-scale free flight expansion of wavefunctions
• Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus
• Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise

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