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Stochastic algorithms for discontinuous multiplicative white noise

Perez-Carrasco, R; Sancho, JM; (2010) Stochastic algorithms for discontinuous multiplicative white noise. Physical Review E , 81 (3) , Article 032104. 10.1103/PhysRevE.81.032104. Green open access

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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.

Type: Article
Title: Stochastic algorithms for discontinuous multiplicative white noise
Open access status: An open access version is available from UCL Discovery
DOI: 10.1103/PhysRevE.81.032104
Publisher version: https://doi.org/10.1103/PhysRevE.81.032104
Language: English
Additional information: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
URI: https://discovery.ucl.ac.uk/id/eprint/10025194
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