Adams methods for the efficient solution of stochastic differential equations with additive noise

Computing (Vienna/New York)

Volumn 59, Issue 2, 1997, Pages 153-161

  Denk, G ^a,b   Schaffler S ^a,c  

^a ZT AN2 ^*

^b SIEMENS AG   (Germany)

^c TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Adams methods; Additive noise; Circuit simulation; Numerical simulation; Order of convergence; Predictor corrector scheme; Random number; Stochastic differential equation; Strong solutions

Indexed keywords

CALCULATIONS; CIRCUIT THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; SPURIOUS SIGNAL NOISE;

ADAMS METHODS; ADDITIVE NOISE; PREDICTOR CORRECTOR SCHEME; RANDOM NUMBER; STOCHASTIC DIFFERENTIAL EQUATIONS;

NUMERICAL METHODS;

EID: 0031359307     PISSN: 0010485X     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02684477     Document Type: Article

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