Statistical modeling of random processes with invariants

Tatiana Averina, Elena Karachanskaya, Konstantin Rybakov

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

5 Citations (Scopus)

Abstract

The main goal of this paper is to study and to test the numerical methods for stochastic differential equations with solutions on a given smooth manifold. Second-order cylindrical surfaces such as elliptic, hyperbolic, and parabolic cylinders are chosen as manifolds in three-dimensional space provided that the phase space is two-dimensional space. The classes of stochastic differential equations are formed for the considered manifolds and linear equations with multiplicative noise that are the particular case of these classes are concerned. The numerical methods accuracy as the mean distance between solutions and the given smooth manifold is estimated. The comparative analysis of the results obtained by using the different numerical methods is given.

Original languageEnglish
Title of host publicationProceedings - 2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages34-37
Number of pages4
ISBN (Electronic)9781538615966
DOIs
Publication statusPublished - 14 Nov 2017
Event2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017 - Novosibirsk, Russian Federation
Duration: 18 Sep 201722 Sep 2017

Conference

Conference2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017
CountryRussian Federation
CityNovosibirsk
Period18.09.201722.09.2017

Keywords

  • First integral
  • Invariant
  • Numerical method
  • Random process
  • Stochastic differential equation

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