THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION

被引：24

作者：

Kloeden, P. E. ^{[1
]}

Platen, E. ^{[2
]}

Schurz, H. ^{[2
]}

机构：

[1] Murdoch Univ, Sch Math & Phys Sci, Murdoch, WA 6150, Australia

[2] Karl Weierstrass Inst Math, D-1086 Berlin, Germany

来源：

INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS | 1991年 / 1卷 / 02期

关键词：

D O I：

10.1142/S021812749100021X

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The numerical analysis of stochastic differential equations, currently undergoing rapid development, differs significantly from its deterministic counterpart due to the peculiarities of stochastic calculus. This article presents a brief, pedagogical introduction to the subject from the perspective of stochastic dynamical systems. The key tool is the stochastic Taylor expansion. Strong, pathwise approximations are distinguished from weak, functional approximations, and their role in stability with Lyapunov exponents and stiffness is discussed.

引用

页码：277 / 286

页数：10

共 16 条

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