Abstract
Systematic exploration and development of the path integration (PI) method as a numerical tool for the solution of stochastic differential equations (SDE) has been going on for more than a decade. Among the first serious efforts in this direction is the work by Wehner & Wolfer (1983; 1983a; 1987). Later, further developments have been published by Naess & Johnsen (1992; 1993), Yu, Cai & Lin (1996) and Naess & Moe (1997).
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Naess, A., Skaug, C. (2001). Path Integration Methods for Calculating Response Statistics of Nonlinear Oscillators Driven by α-Stable Lévy Noise. In: Narayanan, S., Iyengar, R.N. (eds) IUTAM Symposium on Nonlinearity and Stochastic Structural Dynamics. Solid Mechanics and its Applications, vol 85. Springer, Dordrecht. https://doi.org/10.1007/978-94-010-0886-0_13
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DOI: https://doi.org/10.1007/978-94-010-0886-0_13
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