Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

Authors:
G. N. Milstein;M. V. Tret'yakov
Affiliations:
-;-
Venue:
SIAM Journal on Scientific Computing
Year:
1997

Citing 0
Cited 9

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Abstract

A new approach to the construction of mean-square numerical methods for the solution of stochastic differential equations with small noises is proposed. The approach is based on expanding the exact solution of the system with small noises in powers of time increment and small parameter. The theorem on the mean-square estimate of method errors is proved. Various efficient numerical schemes are derived for a general system with small noises and for systems with small additive and small colored noises. The proposed methods are tested by calculation of Lyapunov exponents and simulation of a laser Langevin equation with multiplicative noises.