This article is cited 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<sup>b

a</sup> 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

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.

UDC: 519.676

Received: 25.06.2013
Revised: 31.03.2014

 English version: Numerical Analysis and Applications, 2015, 8:1, 13–22

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