Adams methods for the efficient solution of stochastic differential equations with additive noise

被引：0
|
作者：
G. Denk
S. Schäffler
机构：
[1] Siemens AG ZT AN2,Institut für Angewandte Mathematik und Statistik
[2] Technische Universität München,undefined
来源：
Computing | 1997年 / 59卷
关键词：
65L05; 65L06; 65U05; 60H20; Stochastic differential equation; additive noise; strong solutions; Adams methods; numerical simulation; order of convergence; predictor-corrector scheme; random number; circuit simulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The application of Adams methods for the numerical solution of stochastic differential equations is considered. Especially we discuss the path-wise (strong) solutions of stochastic differential equations with additive noise and their numerical computation. The special structure of these problems suggests the application of Adams methods, which are used for deterministic differential equations very successfully. Applications to circuit simulation are presented.
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页码：153 / 161
页数：8
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