A Modification of Numerical Methods for Stochastic Differential Equations with First Integrals

T. A. Averina, K. A. Rybakov

Результат исследования: Научные публикации в периодических изданияхстатья

Аннотация

Stochastic differential equations (SDEs) with first integrals are considered. Exact solutions of such SDEs belong to smooth manifolds with probability 1. However, numerical solutions do not belong to the manifolds, but belong to their neighborhoods due to numerical errors. The main goal of this paper is to construct modified numerical methods for solving SDEs that have first integrals. In this study, exact solutions for three SDE systems with first integrals are obtained, and the modification of numerical methods is tested on these systems.

Язык оригиналаанглийский
Страницы (с-по)203-218
Число страниц16
ЖурналNumerical Analysis and Applications
Том12
Номер выпуска3
DOI
СостояниеОпубликовано - 1 июл 2019

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