THE PERFORMANCE OF WONG-ZAKAI APPROXIMATIONS FOR THE INVESTIGATION OF STOCHASTIC DIFFERENTIAL EQUATION MODELS WITH NONLINEAR MULTIPLICATIVE NOISE

Şengül S., Bekiryazıcı Z., Merdan M.

ACTA MATHEMATICA UNIVERSITATIS COMENIANAE, cilt.90, sa.2, ss.231-243, 2021 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 90 Sayı: 2
  • Basım Tarihi: 2021
  • Dergi Adı: ACTA MATHEMATICA UNIVERSITATIS COMENIANAE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Academic Search Premier, Aerospace Database, Central & Eastern European Academic Source (CEEAS), Communication Abstracts, Metadex, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.231-243
  • Anahtar Kelimeler: Wong-Zakai Approximation, stochastic differential equation, Milstein method, simulation, stochastic noise, multiplicative noise, CONVERGENCE
  • Recep Tayyip Erdoğan Üniversitesi Adresli: Evet

Özet

In this study, Wong-Zakai approximation method has been applied for the analysis of stochastic differential equations appearing in engineering sciences. Wong-Zakai approximation has been used with similar stochastic approximation methods to compare the approximate solutions of the problems and comment on the performance of the method. Models for lake pollution and computer virus spread under antivirus protection have been used with nonlinear stochastic noise as numerical examples to demonstrate the efficiency of Wong-Zakai method.