Some Experiments on Numerical Simulations of Stochastic Differential Equations and a New Algorithm

1994 ◽  
Vol 113 (1) ◽  
pp. 75-81 ◽  
Author(s):  
W.P. Petersen
Keyword(s):  
Differential Equations ◽  
Numerical Simulations ◽  
Stochastic Differential Equations

scholarly journals The stochastic θ method for stationary distribution of stochastic differential equations with Markovian switching

2020 ◽  
Vol 2020 (1) ◽  
Author(s):  
Yanan Jiang ◽  
Liangjian Hu ◽  
Jianqiu Lu
Keyword(s):  
Differential Equations ◽  
Numerical Simulations ◽  
Stochastic Differential Equations ◽  
Stationary Distribution ◽  
Existence And Uniqueness ◽  
Numerical Solutions ◽  
Markovian Switching ◽  
Theoretical Results

AbstractIn this paper, stationary distribution of stochastic differential equations (SDEs) with Markovian switching is approximated by numerical solutions generated by the stochastic θ method. We prove the existence and uniqueness of stationary distribution of the numerical solutions firstly. Then, the convergence of numerical stationary distribution to the underlying one is discussed. Numerical simulations are conducted to support the theoretical results.

scholarly journals Asymptotic Behavior of Positive Solutions of a Competitive System Subject to Environmental Noise

2015 ◽  
Vol 2015 ◽  
pp. 1-9
Author(s):  
Huili Xiang ◽  
Zhuang Fang ◽  
Zuxiong Li ◽  
Zhijun Liu
Keyword(s):  
Asymptotic Behavior ◽  
Lyapunov Function ◽  
Differential Equations ◽  
Numerical Simulations ◽  
Stochastic Differential Equations ◽  
Positive Solution ◽  
Sufficient Conditions ◽  
Environmental Noise ◽  
Competitive System ◽  
Stochastic Boundedness

A competitive system subject to environmental noise is established. By using the theory of stochastic differential equations and Lyapunov function, sufficient conditions for the existence, uniqueness, stochastic boundedness, and global attraction of the positive solution of the above system are established, respectively. An example together with its corresponding numerical simulations is presented to confirm our analytical results.

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law
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