ADAMS METHODS FOR THE EFFICIENT SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS WITH ADDITIVE NOISE

Authors
DENK G SCHAFFLER S
Citation
G. Denk et S. Schaffler, ADAMS METHODS FOR THE EFFICIENT SOLUTION OF STOCHASTIC DIFFERENTIAL-EQUATIONS WITH ADDITIVE NOISE, Computing, 59(2), 1997, pp. 153-161
Citations number
13
Categorie Soggetti
Computer Sciences","Computer Science Theory & Methods
Journal title
Computing → ACNP
ISSN journal
0010485X
Volume
59
Issue
2
Year of publication
1997
Pages
153 - 161
Database
ISI
SICI code
0010-485X(1997)59:2<153:AMFTES>2.0.ZU;2-O
Abstract
The application of Adams methods for the numerical solution of stochas tic differential equations is considered. Especially we discuss the pa th-wise (strong) solutions of stochastic differential equations with a dditive noise and their numerical computation. The special structure o f these problems suggests the application of Adams methods, which are used for deterministic differential equations very successfully. Appli cations to circuit simulation are presented.