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

Author

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  • Duan, Wei-Long
  • Fang, Hui
  • Zeng, Chunhua

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.

Suggested Citation

  • Duan, Wei-Long & Fang, Hui & Zeng, Chunhua, 2019. "Second-order algorithm for simulating stochastic differential equations with white noises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 491-497.
    • Handle: RePEc:eee:phsmap:v:525:y:2019:i:c:p:491-497
    DOI: 10.1016/j.physa.2019.03.112
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    References listed on IDEAS

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    1. Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 311-349, February.
    2. Dereich, Steffen & Heidenreich, Felix, 2011. "A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1565-1587, July.
    3. Uzuntarla, Muhammet & Uzun, Rukiye & Yilmaz, Ergin & Ozer, Mahmut & Perc, Matjaž, 2013. "Noise-delayed decay in the response of a scale-free neuronal network," Chaos, Solitons & Fractals, Elsevier, vol. 56(C), pages 202-208.
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    Citations

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    Cited by:

    1. Duan, Wei-Long & Fang, Hui & Zeng, Chunhua, 2019. "The stability analysis of tumor-immune responses to chemotherapy system with gaussian white noises," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 96-102.
    2. Wang, Zhenyu & Wang, Chenke & Ma, Qiang & Ding, Xiaohua, 2020. "Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    3. Duan, Wei-Long & Lin, Ling, 2021. "Noise and delay enhanced stability in tumor-immune responses to chemotherapy system," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
    4. Duan, Wei-Long & Fang, Hui, 2020. "The unified colored noise approximation of multidimensional stochastic dynamic system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).

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