کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
522297 867822 2007 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical simulation of nonlinear dynamical systems driven by commutative noise
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نرم افزارهای علوم کامپیوتر
پیش نمایش صفحه اول مقاله
Numerical simulation of nonlinear dynamical systems driven by commutative noise
چکیده انگلیسی

The local linearization (LL) approach has become an effective technique for the numerical integration of ordinary, random and stochastic differential equations. One of the reasons for this success is that the LL method achieves a convenient trade-off between numerical stability and computational cost. Besides, the LL method reproduces well the dynamics of nonlinear equations for which other classical methods fail. However, in the stochastic case, most of the reported works has been focused in Stochastic Differential Equations (SDE) driven by additive noise. This limits the applicability of the LL method since there is a number of interesting dynamics observed in equations with multiplicative noise. On the other hand, recent results show that commutative noise SDEs can be transformed into a random differential equation (RDE) by means of a random diffeomorfism (conjugacy). This paper takes advantages of such conjugacy property and the LL approach for defining a LL scheme for SDEs driven by commutative noise. The performance of the proposed method is illustrated by means of numerical simulations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational Physics - Volume 226, Issue 2, 1 October 2007, Pages 1219–1233
نویسندگان
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