Simulation and numerical analysis of stochastic differential systems : a review - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports (Research Report) Year : 1990

Simulation and numerical analysis of stochastic differential systems : a review

Denis Talay
  • Function : Author
  • PersonId : 833429

Abstract

We present methods of approximating quantities related to the solutions of stochastic differential systems based on the simulation of time-discrete Markov chains. The motivations come from random mechanics and the numerical integration of certains deterministic P.D.E.'s by probabilistic algorithms. We state theoretical results concerning the rates of convergence of these methods. We give results of numerical tests, and we describe an application of this approach to an engineering problem (the study of stability of the motion of a helicopter blade).

Domains

Other [cs.OH]
Fichier principal
Vignette du fichier
RR-1313.pdf (1.69 Mo) Télécharger le fichier

Dates and versions

inria-00075246 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00075246 , version 1

Cite

Denis Talay. Simulation and numerical analysis of stochastic differential systems : a review. [Research Report] RR-1313, INRIA. 1990, pp.51. ⟨inria-00075246⟩
230 View
246 Download

Share

Gmail Facebook X LinkedIn More