Stochastic algorithms for discontinuous multiplicative white noise
Abstract
Stochastic differential equations with multiplicative noise need a mathematical prescription due to different interpretations of the stochastic integral. This fact implies specific algorithms to perform numerical integrations or simulations of the stochastic trajectories. Moreover, if the multiplicative noise function is not continuous then the standard algorithms cannot be used. We present an explicit algorithm to avoid this problem and we apply it to a well controlled example. Finally, we discuss on the existence of higher-order algorithms for this specific situation.
- Publication:
-
Physical Review E
- Pub Date:
- March 2010
- DOI:
- 10.1103/PhysRevE.81.032104
- Bibcode:
- 2010PhRvE..81c2104P
- Keywords:
-
- 05.40.-a;
- 02.70.-c;
- Fluctuation phenomena random processes noise and Brownian motion;
- Computational techniques;
- simulations