Second-order algorithm for simulating stochastic differential equations with white noises

Wei-Long Duan, Hui Fang and Chunhua Zeng

Physica A: Statistical Mechanics and its Applications, 2019, vol. 525, issue C, 491-497

Abstract: The second-order algorithm for simulating stochastic differential equations with Gaussian white noises is presented. These stochastic differential equations are universal type, among, these Gaussian white noises come from different sources. Specifically, the proposed algorithm extends previous first-order algorithm for stochastic differential equations with different white noises and second-order algorithm for stochastic differential equations with same white noise. In practice, it is proved that this algorithm is scientific.

Keywords: Stochastic differential equation; Second-order algorithm; Gaussian white noise (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:525:y:2019:i:c:p:491-497

DOI: 10.1016/j.physa.2019.03.112

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