Statistical modeling of random processes with invariants

Tatiana Averina, Elena Karachanskaya, Konstantin Rybakov

Результат исследования: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференциинаучнаярецензирование

5 Цитирования (Scopus)

Аннотация

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.

Язык оригиналаанглийский
Название основной публикацииProceedings - 2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017
ИздательInstitute of Electrical and Electronics Engineers Inc.
Страницы34-37
Число страниц4
ISBN (электронное издание)9781538615966
DOI
СостояниеОпубликовано - 14 ноя 2017
Событие2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017 - Novosibirsk, Российская Федерация
Продолжительность: 18 сен 201722 сен 2017

Конференция

Конференция2017 International Multi-Conference on Engineering, Computer and Information Sciences, SIBIRCON 2017
СтранаРоссийская Федерация
ГородNovosibirsk
Период18.09.201722.09.2017

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