WONG-ZAKAI METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN ENGINEERING


ŞENGÜL S. , BEKİRYAZICI Z. , Merdan M.

THERMAL SCIENCE, vol.25, 2021 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 25
  • Publication Date: 2021
  • Doi Number: 10.2298/tsci200528014s
  • Title of Journal : THERMAL SCIENCE

Abstract

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-Alartiyama 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 he used as an alternative for the known approximation techniques for stochastic models.