This article is cited in 2 papers

Numerical solution to stochastic differential equations with growing variance

T. A. Averina, S. S. Artem'ev

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: The paper considers a new method for transition from an initial unstable in the mean square SDE system to the SDE system with a solution close to a stationary process. The SDE systems for a stochastic component are obtained with the use of the Ito formula both in the case of linear and nonlinear initial SDE systems.

Key words: stochastic differential equations (SDEs), unstable SDEs, numerical methods for solution of SDEs, Monte Carlo methods.

UDC: 519.676

Received: 01.04.2004

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