S. S. Artemiev, A. A. Ivanov, D. D. Smirnov, “New frequency characteristics of the numerical solution to stochastic differential equations”, Sib. Zh. Vychisl. Mat., 18:1 (2015), 15–26; Num. Anal. Appl., 8:1 (2015), 13

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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2015, Volume 18, Number 1, Pages 15–26 (Mi sjvm563)

This article is cited in 4 scientific papers (total in 4 papers)

New frequency characteristics of the numerical solution to stochastic differential equations

S. S. Artemiev^ab, A. A. Ivanov^a, D. D. Smirnov^b

^a Institute of Computational Mathematics and Mathematical Geophysics SB RAS, 6 Lavrentiev pr., Novosibirsk, 630090, Russia
^b Novosibirsk State University, 2 Pirogova str., Novosibirsk, 630090, Russia

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Abstract: The problems of the numerical analysis of stochastic differential equations with oscillatory solutions trajectories are studied. For the analysis of the numerical solution it is proposed to use the frequency response of generalizing the integral curve and the phase portrait. The results of numerical experiments carried out on a cluster of NCC-30T Siberian Supercomputer Center at the ICM&MG SB RAS using a set of programs PARMONC are presented.

Key words: stochastic differential equations, cumulative frequency curve, frequency phase portrait, generalized Euler's method.

Received: 25.06.2013
Revised: 31.03.2014

English version:
Numerical Analysis and Applications, 2015, Volume 8, Issue 1, Pages 13–22
DOI: https://doi.org/10.1134/S1995423915010024

Bibliographic databases:

Document Type: Article

UDC: 519.676

Language: Russian

Citation: S. S. Artemiev, A. A. Ivanov, D. D. Smirnov, “New frequency characteristics of the numerical solution to stochastic differential equations”, Sib. Zh. Vychisl. Mat., 18:1 (2015), 15–26; Num. Anal. Appl., 8:1 (2015), 13–22

Citation in format AMSBIB

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Linking options:

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https://www.mathnet.ru/eng/sjvm/v18/i1/p15

This publication is cited in the following 4 articles:

A. A. Ivanov, “Analysis of the stochastic motion of a charged particle in a magnetic field by the Monte Carlo method on supercomputers”, J. Appl. Industr. Math., 11:3 (2017), 362–368
S. S. Artemiev, A. A. Ivanov, “Analysis of the influence of random noises for self-oscillating chemical reactions by a Monte-Carlo method on supercomputers”, J. Appl. Industr. Math., 10:4 (2016), 468–473
S. S. Artemiev, A. A. Ivanov, “Analysis of the effect of random noise on the strange attractors of Monte Carlo on a supercomputer”, Num. Anal. Appl., 8:2 (2015), 101–112
T. A. Averina, S. S. Artemev, D. D. Smirnov, “Chislennyi analiz stokhasticheskoi modeli prodolnogo dvizheniya rakety metodom Monte–Karlo na superkompyutere”, Sib. zhurn. industr. matem., 18:3 (2015), 3–10

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Sibirskii Zhurnal Vychislitel'noi Matematiki

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