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Adams methods for the efficient solution of stochastic differential equations with additive noise

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Abstract

The application of Adams methods for the numerical solution of stochastic differential equations is considered. Especially we discuss the path-wise (strong) solutions of stochastic differential equations with additive noise and their numerical computation. The special structure of these problems suggests the application of Adams methods, which are used for deterministic differential equations very successfully. Applications to circuit simulation are presented.

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Authors and Affiliations

  1. Siemens AG ZT AN2, D-81730, München, Germany

    G. Denk

  2. Institut für Angewandte Mathematik und Statistik, Technische Universität München, D-80290, München, Germany

    S. Schäffler

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  1. G. Denk
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  2. S. Schäffler
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Denk, G., Schäffler, S. Adams methods for the efficient solution of stochastic differential equations with additive noise. Computing 59, 153–161 (1997). https://doi.org/10.1007/BF02684477

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  • DOI: https://doi.org/10.1007/BF02684477

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