Nagalinga Rajan, Soumyendu Raha1
CMES-Computer Modeling in Engineering & Sciences, Vol.23, No.2, pp. 91-116, 2008, DOI:10.3970/cmes.2008.023.091
Abstract The article describes a numerical method for time domain integration of noisy dynamical systems originating from engineering applications. The models are second order stochastic differential equations (SDE). The stochastic process forcing the dynamics is treated mainly as multiplicative noise involving a Wiener Process in the Itô sense. The developed numerical integration method is a drift implicit strong order 2.0 method. The method has user-selectable numerical dissipation properties that can be useful in dealing with both multiplicative noise and stiffness in a computationally efficient way. A generalized analysis of the method including the multiplicative noise is presented. Strong order convergence, user-selectable… More >