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Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method. / Artem’ev, S. S.; Yakunin, M. A.

In: Journal of Applied and Industrial Mathematics, Vol. 11, No. 2, 01.04.2017, p. 157-167.

Research output: Contribution to journal › Article › peer-review

Harvard

Artem’ev, SS & Yakunin, MA 2017, 'Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method', Journal of Applied and Industrial Mathematics, vol. 11, no. 2, pp. 157-167. https://doi.org/10.1134/S1990478917020016

APA

Artem’ev, S. S., & Yakunin, M. A. (2017). Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method. Journal of Applied and Industrial Mathematics, 11(2), 157-167. https://doi.org/10.1134/S1990478917020016

Vancouver

Artem’ev SS, Yakunin MA. Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method. Journal of Applied and Industrial Mathematics. 2017 Apr 1;11(2):157-167. doi: 10.1134/S1990478917020016

Author

Artem’ev, S. S. ; Yakunin, M. A. / Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method. In: Journal of Applied and Industrial Mathematics. 2017 ; Vol. 11, No. 2. pp. 157-167.

BibTeX

@article{e5f050bb74b146419a95326ae4bc4a99,
title = "Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method",
abstract = "Using the Monte Carlo method, we address the influence of the Wiener and Poisson random noises on the behavior of oscillatory solutions to systems of stochastic differential equations (SDEs). For the linear and Van der Pol oscillators, we study the accuracy of estimates of the functionals of numerical solutions to SDEs obtained by the generalized explicit Euler method. For a linear oscillator, we obtain the exact analytical expressions for the mathematical expectation and the variance of the SDE solution. These expressions allow us to investigate the dependence of the accuracy of estimates of the solution moments on the values of SDE parameters, the size of meshsize, and the ensemble of simulated trajectories of the solution. For the Van der Pol oscillator, we study the dependence of the frequency and the damping rate of the oscillations of the mathematical expectation of SDE solution on the values of parameters of the Poisson component. The results of the numerical experiments are presented.",
keywords = "generalized Euler method, Monte Carlo method, Poisson component, stochastic differential equation, stochastic oscillator",
author = "Artem{\textquoteright}ev, {S. S.} and Yakunin, {M. A.}",
year = "2017",
month = apr,
day = "1",
doi = "10.1134/S1990478917020016",
language = "English",
volume = "11",
pages = "157--167",
journal = "Journal of Applied and Industrial Mathematics",
issn = "1990-4789",
publisher = "Maik Nauka-Interperiodica Publishing",
number = "2",

}

RIS

TY - JOUR

T1 - Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method

AU - Artem’ev, S. S.

AU - Yakunin, M. A.

PY - 2017/4/1

Y1 - 2017/4/1

N2 - Using the Monte Carlo method, we address the influence of the Wiener and Poisson random noises on the behavior of oscillatory solutions to systems of stochastic differential equations (SDEs). For the linear and Van der Pol oscillators, we study the accuracy of estimates of the functionals of numerical solutions to SDEs obtained by the generalized explicit Euler method. For a linear oscillator, we obtain the exact analytical expressions for the mathematical expectation and the variance of the SDE solution. These expressions allow us to investigate the dependence of the accuracy of estimates of the solution moments on the values of SDE parameters, the size of meshsize, and the ensemble of simulated trajectories of the solution. For the Van der Pol oscillator, we study the dependence of the frequency and the damping rate of the oscillations of the mathematical expectation of SDE solution on the values of parameters of the Poisson component. The results of the numerical experiments are presented.

AB - Using the Monte Carlo method, we address the influence of the Wiener and Poisson random noises on the behavior of oscillatory solutions to systems of stochastic differential equations (SDEs). For the linear and Van der Pol oscillators, we study the accuracy of estimates of the functionals of numerical solutions to SDEs obtained by the generalized explicit Euler method. For a linear oscillator, we obtain the exact analytical expressions for the mathematical expectation and the variance of the SDE solution. These expressions allow us to investigate the dependence of the accuracy of estimates of the solution moments on the values of SDE parameters, the size of meshsize, and the ensemble of simulated trajectories of the solution. For the Van der Pol oscillator, we study the dependence of the frequency and the damping rate of the oscillations of the mathematical expectation of SDE solution on the values of parameters of the Poisson component. The results of the numerical experiments are presented.

KW - generalized Euler method

KW - Monte Carlo method

KW - Poisson component

KW - stochastic differential equation

KW - stochastic oscillator

UR - http://www.scopus.com/inward/record.url?scp=85019740195&partnerID=8YFLogxK

U2 - 10.1134/S1990478917020016

DO - 10.1134/S1990478917020016

M3 - Article

AN - SCOPUS:85019740195

VL - 11

SP - 157

EP - 167

JO - Journal of Applied and Industrial Mathematics

JF - Journal of Applied and Industrial Mathematics

SN - 1990-4789

IS - 2

ER -

ID: 10040009