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Simulation of Non-linear Stochastic Differential Equations

Razevig, Vsevolod D. (1977) In Technical Reports
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:
author
organization
publishing date
type
Book/Report
publication status
published
subject
in
Technical Reports
issue
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
2016-10-17 13:30:47
@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},
  number       = {TFRT-7120},
  pages        = {52},
  series       = {Technical Reports},
  title        = {Simulation of Non-linear Stochastic Differential Equations},
  year         = {1977},
}