WONG-ZAKAI METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN ENGINEERING

Şengül S., Bekiryazıcı Z., Merdan M.

THERMAL SCIENCE, cilt.25, 2021 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25
  • Basım Tarihi: 2021
  • Doi Numarası: 10.2298/tsci200528014s
  • Dergi Adı: THERMAL SCIENCE
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Directory of Open Access Journals
  • Anahtar Kelimeler: Wong-Zakai approximation, stochastic differential equation, Euler-Maruyama method, Milstein method, solar irradiance, Brownian motion, CONVERGENCE, APPROXIMATIONS
  • Recep Tayyip Erdoğan Üniversitesi Adresli: Evet

Özet

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.