Simulation of Non-linear Stochastic Differential Equations
(1977) In Technical Reports TFRT-7120- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/2011c9c2-45fc-47e5-9184-33b44ca6d4cd
- author
- Razevig, Vsevolod D.
- organization
- publishing date
- 1977-05
- type
- Book/Report
- publication status
- published
- subject
- in
- Technical Reports TFRT-7120
- pages
- 52 pages
- publisher
- Department of Automatic Control, Lund Institute of Technology, Lund University
- ISSN
- 0280-5316
- language
- English
- LU publication?
- no
- id
- 2011c9c2-45fc-47e5-9184-33b44ca6d4cd
- date added to LUP
- 2016-10-17 13:25:40
- date last changed
- 2018-11-21 21:26:42
@techreport{2011c9c2-45fc-47e5-9184-33b44ca6d4cd, 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.<br/><br/>This work was supported by a scholarship from the Swedish Institute.<br/><br/>}}, author = {{Razevig, Vsevolod D.}}, institution = {{Department of Automatic Control, Lund Institute of Technology, Lund University}}, issn = {{0280-5316}}, language = {{eng}}, series = {{Technical Reports TFRT-7120}}, title = {{Simulation of Non-linear Stochastic Differential Equations}}, url = {{https://lup.lub.lu.se/search/files/15679229/7120.pdf}}, year = {{1977}}, }