Simulation of Non-linear Stochastic Differential Equations

Forskningsoutput: Bok/rapportRapport

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.

Detaljer

Författare
  • Vsevolod D. Razevig
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Reglerteknik
Originalspråkengelska
FörlagDepartment of Automatic Control, Lund Institute of Technology, Lund University
Antal sidor52
StatusPublished - 1977 maj
PublikationskategoriForskning

Publikationsserier

NamnTechnical Reports TFRT-7120
ISSN (tryckt)0280-5316

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