Stochastic algorithms for discontinuous multiplicative white noise

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چکیده

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Stochastic algorithms for discontinuous multiplicative white noise.

Stochastic differential equations with multiplicative noise need a mathematical prescription due to different interpretations of the stochastic integral. This fact implies specific algorithms to perform numerical integrations or simulations of the stochastic trajectories. Moreover, if the multiplicative noise function is not continuous then the standard algorithms cannot be used. We present an ...

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ژورنال

عنوان ژورنال: Physical Review E

سال: 2010

ISSN: 1539-3755,1550-2376

DOI: 10.1103/physreve.81.032104