New frequency characteristics of the numerical solution to stochastic differential equations
Sergey Semenovich Artemiev1,2, Aleksandr Aleksandrovich Ivanov1, Dmitriy Dmitrievich Smirnov2
1Institute of Computational Mathematics and Mathematical Geophysics SB RAS, pr. Lavrentieva, 6, Novosibirsk, Russia, 630090 2Novosibirsk State University, Pirogova 2, Novosibirsk, Russia, 630090
Keywords: stochastic differential equations, cumulative frequency curve, frequency phase portrait, generalized Euler's method
Abstract
The problems of the numerical analysis of stochastic differential equations with oscillatory solutions trajectories are studied. For the analysis of the numerical solution it is proposed to use the frequency response of generalizing the integral curve and the phase portrait. The results of numerical experiments carried out on a cluster of NCC-30T Siberian Supercomputer Center at the ICM\&MG SB RAS using a set of programs PARMONC are presented.
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