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
相关论文
共 50 条
  • [11] Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise
    Rössler, A
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2004, 164 : 613 - 627
  • [12] Symplectic Runge-Kutta schemes .1. Order conditions
    Sofroniou, M
    Oevel, W
    SIAM JOURNAL ON NUMERICAL ANALYSIS, 1997, 34 (05) : 2063 - 2086
  • [13] ADAPTIVE RUNGE-KUTTA ALGORITHMS FOR DYNAMIC SIMULATION
    CAMERON, IT
    GANI, R
    COMPUTERS & CHEMICAL ENGINEERING, 1988, 12 (07) : 705 - 717
  • [14] Continuous stage stochastic Runge-Kutta methods
    Xin, Xuan
    Qin, Wendi
    Ding, Xiaohua
    ADVANCES IN DIFFERENCE EQUATIONS, 2021, 2021 (01)
  • [15] Stochastic Runge-Kutta Software Package for Stochastic Differential Equations
    Gevorkyan, M. N.
    Velieva, T. R.
    Korolkova, A. V.
    Kulyabov, D. S.
    Sevastyanov, L. A.
    DEPENDABILITY ENGINEERING AND COMPLEX SYSTEMS, 2016, 470 : 169 - 179
  • [16] Implicit stochastic Runge-Kutta methods for stochastic differential equations
    Burrage, K
    Tian, T
    BIT NUMERICAL MATHEMATICS, 2004, 44 (01) : 21 - 39
  • [17] Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
    Zhou, Weien
    Zhang, Jingjing
    Hong, Jialin
    Song, Songhe
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 325 : 134 - 148
  • [18] Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
    Burrage, Pamela M.
    Burrage, Kevin
    NUMERICAL ALGORITHMS, 2014, 65 (03) : 519 - 532
  • [19] Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
    Burrage, Kevin
    Burrage, Pamela M.
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2012, 236 (16) : 3920 - 3930
  • [20] Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
    Pamela M. Burrage
    Kevin Burrage
    Numerical Algorithms, 2014, 65 : 519 - 532
12345