Numerical methods for stochastic differential equations

被引：0
|
作者：
Wilkie, J [1 ]
机构：
[1] Simon Fraser Univ, Dept Chem, Burnaby, BC V5A 1S6, Canada
来源：
PHYSICAL REVIEW E | 2004年 / 70卷 / 01期
关键词：
D O I：
暂无
中图分类号：
O35 [流体力学]; O53 [等离子体物理学];
学科分类号：
070204 ; 080103 ; 080704 ;
摘要：
Stochastic differential equations (SDE's) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes for solving stochastic equations is outlined here. High-order numerical methods are developed for the integration of stochastic differential equations with strong solutions. We demonstrate the accuracy of the resulting integration schemes by computing the errors in approximate solutions for SDE's which have known exact solutions.
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页数：4
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