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Journal of Automation and Information Sciences

Выходит 12 номеров в год

ISSN Печать: 1064-2315

ISSN Онлайн: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

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Numerical Method for Integrating Solution of Stochastic Differential Equations Based on Differential Transformations

Том 45, Выпуск 11, 2013, pp. 51-62
DOI: 10.1615/JAutomatInfScien.v45.i11.70
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Краткое описание

The paper has proposed a method of developing computational scheme for investigating the system of ordinary differential equations describing the mean value and the variance of a random process defined by a stochastic differential equation in the form of the Langevin equation, the right-hand side of which satisfies the smoothness conditions allowing one to define the derivatives to obtain the solution of the second order inclusive. The method is based on the differential transformations.

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