Pablo Aguiar De Maio, Rio Fgv, RJ Hugo de Janeiro, de La Cruz, Cancino
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引用次数: 0
摘要
.本文介绍了一种基于局部线性化（LL）技术的 A 级稳定自适应积分器，用于计算机模拟由加性噪声驱动的随机微分方程。为了构建该方法，本文提出了新颖的嵌入式随机 LL 方案和自适应策略。仿真结果说明了引入的积分器的实际性能。
A numerical scheme with adaptive stepsize for Stochastic Differential Equations with additive noise
. This paper introduces an A-stable adaptive integrator based on the Local Linearization (LL) technique for the computer simulation of stochastic differential equations driven by additive noise. To construct the method, novel embedding stochastic LL schemes and a adaptive strategy are proposed. Simulation results are presented to illustrate the practical performance of the introduced integrator.
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