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 explicit algorithm to avoid this problem and we apply it to a well controlled example. Finally, we discuss on the existence of higher-order algorithms for this specific situation.
Perez-Carrasco
R
R
Departament d'Estructura i Constituents de la Matèria, Facultat de Física, Universitat de Barcelona, Diagonal 647, E-08028 Barcelona, Spain.
Sancho
J M
JM
D000465:Algorithms; D003198:Computer Simulation; D008954:Models, Biological; D015233:Models, Statistical; D013269:Stochastic Processes