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Numerical Integration of Stochastic Differential Equations—II

Publication ,  Journal Article
Greenside, HS; Helfand, E
Published in: Bell System Technical Journal
January 1, 1981

In a previous paper, a method was presented to integrate numerically nonlinear stochastic differential equations (SDES) with additive, Gaussian, white noise. The method, a generalization of the Runge‐Kutta algorithm, extrapolates from one point to the next applying functional evaluations at stochastically determined points. This paper extends (and at one point corrects) algorithms for the simple class of equations considered in the previous paper. In addition, the method is expanded to treat vector SDES, equations with time‐dependent functions, and SDES higher than first order. The parameters for several explicit integration schemes are displayed. © 1981 The Bell System Technical Journal

Duke Scholars

Published In

Bell System Technical Journal

DOI

EISSN

1538-7305

ISSN

0005-8580

Publication Date

January 1, 1981

Volume

60

Issue

8

Start / End Page

1927 / 1940

Related Subject Headings

  • Networking & Telecommunications
  • 4006 Communications engineering
  • 1005 Communications Technologies
  • 0906 Electrical and Electronic Engineering
 

Citation

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Greenside, H. S., & Helfand, E. (1981). Numerical Integration of Stochastic Differential Equations—II. Bell System Technical Journal, 60(8), 1927–1940. https://doi.org/10.1002/j.1538-7305.1981.tb00303.x
Greenside, H. S., and E. Helfand. “Numerical Integration of Stochastic Differential Equations—II.” Bell System Technical Journal 60, no. 8 (January 1, 1981): 1927–40. https://doi.org/10.1002/j.1538-7305.1981.tb00303.x.
Greenside HS, Helfand E. Numerical Integration of Stochastic Differential Equations—II. Bell System Technical Journal. 1981 Jan 1;60(8):1927–40.
Greenside, H. S., and E. Helfand. “Numerical Integration of Stochastic Differential Equations—II.” Bell System Technical Journal, vol. 60, no. 8, Jan. 1981, pp. 1927–40. Scopus, doi:10.1002/j.1538-7305.1981.tb00303.x.
Greenside HS, Helfand E. Numerical Integration of Stochastic Differential Equations—II. Bell System Technical Journal. 1981 Jan 1;60(8):1927–1940.
Journal cover image

Published In

Bell System Technical Journal

DOI

EISSN

1538-7305

ISSN

0005-8580

Publication Date

January 1, 1981

Volume

60

Issue

8

Start / End Page

1927 / 1940

Related Subject Headings

  • Networking & Telecommunications
  • 4006 Communications engineering
  • 1005 Communications Technologies
  • 0906 Electrical and Electronic Engineering