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New frequency characteristics of the numerical solution of stochastic differential equations

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Abstract

Some problems of numerical analysis of stochastic differential equations with oscillatory solution trajectories are studied. To analyze a numerical solution, it is proposed to use some frequency characteristics generalizing the integral curve and phase portrait. The results of numerical experiments carried out on a cluster, NCC-30T, at the Siberian Supercomputer Center, ICM&MG SB RAS, with a software package, PARMONC, are presented.

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Authors and Affiliations

  1. Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akad. Lavrent’eva 6, Novosibirsk, 630090, Russia

    S. S. Artemiev & A. A. Ivanov

  2. Novosibirsk State University, ul. Pirogova 2, Novosibirsk, 630090, Russia

    S. S. Artemiev & D. D. Smirnov

Authors
  1. S. S. Artemiev
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  2. A. A. Ivanov
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  3. D. D. Smirnov
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Correspondence to S. S. Artemiev.

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Original Russian Text © S.S. Artemiev, A.A. Ivanov, D.D. Smirnov, 2015, published in Sibirskii Zhurnal Vychislitel’noi Matematiki, 2015, Vol. 18, No. 1, pp. 15–26.

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Artemiev, S.S., Ivanov, A.A. & Smirnov, D.D. New frequency characteristics of the numerical solution of stochastic differential equations. Numer. Analys. Appl. 8, 13–22 (2015). https://doi.org/10.1134/S1995423915010024

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  • DOI: https://doi.org/10.1134/S1995423915010024

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