Digital simulation and modeling of nonlinear stochastic systems
Description:
Digitally generated solutions of nonlinear stochastic systems are not unique, but depend critically on the numerical integration algorithm used. Some theoretical and practical implications of this dependence are examined. The Ito-Stratonovich controversy concerning the solution of nonlinear stochastic systems is shown to be more than a theoretical debate on maintaining Markov properties as opposed to utilizing the computational rules of ordinary calculus. The theoretical arguments give rise to …
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Date:
January 1, 1980
Creator:
Richardson, J. M. & Rowland, J. R.
Item Type:
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Partner:
UNT Libraries Government Documents Department