Numerical solution of differential equations with colored noise |
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Authors: | G N Milshtein M V Tret'yakov |
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Institution: | (1) Department of Mathematics, Ural State University, 620083 Ekaterinburg, Russia |
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Abstract: | Using the general theory of numerical integration of stochastic differential equations, a constructive approach to numerical methods for a system with colored noise is proposed. Efficient methods up to the 5/2 strong order and up to the third weak order, including Runge-Kutta and implicit schemes, are presented. The algorithms are tested on the Kubo oscillator. |
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Keywords: | Stochastic differential equations colored noise numerical methods |
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