STOCHASTIC RUNGE-KUTTA ALGORITHMS .1. WHITE-NOISE

被引：393
|
作者：
HONEYCUTT, RL
机构：
[1] David Taylor Research Center, Bethesda
来源：
PHYSICAL REVIEW A | 1992年 / 45卷 / 02期
关键词：
D O I：
10.1103/PhysRevA.45.600
中图分类号：
O43 [光学];
学科分类号：
070207 ; 0803 ;
摘要：
A higher-order algorithm for the numerical integration of one-variable, additive, white-noise equations is developed. The method of development is to extend standard deterministic Runge-Kutta algorithms to include stochastic terms. The ability of the algorithm to generate proper correlation properties is tested on the Omstein-Uhlenbeck process, showing higher accuracy even with longer step size.
引用
收藏
页码：600 / 603
页数：4
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