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Numerical Analysis and Applications

, Volume 8, Issue 1, pp 13–22 | Cite as

New frequency characteristics of the numerical solution of stochastic differential equations

  • S. S. Artemiev
  • A. A. Ivanov
  • D. D. Smirnov
Article

Abstract

Some problems of numerical analysis of stochastic differential equations with oscillatory solution trajectories are studied. To analyze a numerical solution, it is proposed to use some frequency characteristics generalizing the integral curve and phase portrait. The results of numerical experiments carried out on a cluster, NCC-30T, at the Siberian Supercomputer Center, ICM&MG SB RAS, with a software package, PARMONC, are presented.

Keywords

stochastic differential equations cumulative frequency curve frequency phase portrait generalized Euler method 

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Copyright information

© Pleiades Publishing, Ltd. 2015

Authors and Affiliations

  • S. S. Artemiev
    • 1
    • 2
  • A. A. Ivanov
    • 1
  • D. D. Smirnov
    • 2
  1. 1.Institute of Computational Mathematics and Mathematical Geophysics, Siberian BranchRussian Academy of SciencesNovosibirskRussia
  2. 2.Novosibirsk State UniversityNovosibirskRussia

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