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

页码：600 / 603

页数：4

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