Wong-Zakai method for stochastic differential equations in engineering

Wong-Zakai method for stochastic differential equations in engineering

In this paper, Wong-Zakai approximation methods are presented for some stochastic differential equations in engineering sciences. Wong-Zakai approximate solutions of the equations are analyzed and the numerical results are compared with results from popular approximation schemes for stochastic diffe...

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Veröffentlicht in:Thermal science 2021, Vol.25 (Spec. issue 1), p.131-142
Hauptverfasser: Sengul, Suleyman, Bekiryazici, Zafer, Merdan, Mehmet
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Bekiryazici, Zafer
Merdan, Mehmet
description In this paper, Wong-Zakai approximation methods are presented for some stochastic differential equations in engineering sciences. Wong-Zakai approximate solutions of the equations are analyzed and the numerical results are compared with results from popular approximation schemes for stochastic differential equations such as Euler-Maruyama and Milstein methods. Several differential equations from engineering problems containing stochastic noise are investigated as numerical examples. Results show that Wong-Zakai method is a reliable tool for studying stochastic differential equations and can be used as an alternative for the known approximation techniques for stochastic models.
doi_str_mv 10.2298/TSCI200528014S
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