Questions tagged [stochastic-ode]

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Probability approximation: monte carlo VS sde

I have a probability measure $\mu$ (say, in $\mathbb{R}^{d}$, with density) and I want to approximate it numerically. Today I noticed that my measure is ergotic for a certain Stochastic Differential ...
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43 views

Time independent Runge Kutta integration of SDE

I am trying to compare the result of numerical integration of time independent Runge_Kutta, github page for stochastic differential equations with the analytical solution. True answer match the ...
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44 views

How to determine the order of convergence of the Euler-Maruyama method?

This question is originally posted in Quant.StackExchange but has been unanswered for some time so I ask in here. To make this simple let us consider the Geometric Brownian Motions (GBM). My ...
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206 views

SDE solver in python: manual determination of integrator step size (dt)

Aim: I am trying to solve a system of SDEs, while using the SDEint package in python 3.x. It is a system of SDEs adapted from and inspired by the Zombie Apocalypse ...
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29 views

Choice of method for Stochastic Differential Equation Solution

I have to simulate the following differential equation: $$\dot{x}=p$$ $$\dot{p}=-x-x^3-\gamma p+F\cos\omega t+ \delta F(t)$$ where $$\langle F(t)F(t')\rangle=2\gamma k_BT\delta(t-t')$$ \...
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Solving SDEs in R until a prespecified value is reached

I am trying to solve a system of SDEs in R using the Diffeqr package. A simplified version of the system: ...