Simulation of Non-linear Stochastic Differential Equations

Research output: Book/ReportReport

Abstract

This paper describes a numerical technique to solve non-linear stochastic differential equations of Ito and Stratonovich type. We consider Euler, fourth-order Runge-Kutta (R-K) Schemes,and other schemes with intermediate accuracy. For the purpose of investigating the Convergence of numerical solutions and to apply variable integration step length techniques the special Wiener process generator was developed. The main result of the paper is the FORTRAN program combining Euler and R-K methods both with constant and variable integration step lengths. In an example the accuracy of these methods is compared.

This work was supported by a scholarship from the Swedish Institute.

Details

Authors
  • Vsevolod D. Razevig
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Control Engineering
Original languageEnglish
PublisherDepartment of Automatic Control, Lund Institute of Technology, Lund University
Number of pages52
Publication statusPublished - 1977 May
Publication categoryResearch

Publication series

NameTechnical Reports TFRT-7120
ISSN (Print)0280-5316

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