How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably

Guoguo Yang; Kevin Burrage; Pamela Burarge; Xiaohua Ding

doi:10.1063/5.0210411

How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably

Guoguo Yang^*
, Kevin Burrage
, Pamela Burarge
, Xiaohua Ding

^*Corresponding author for this work

Peking University
Queensland University of Technology
University of Oxford
Harbin Institute of Technology Weihai

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

A method for choosing an appropriate initial condition to simulate stochastic differential equations stably is proposed. We apply Lyapunov stability and asymptotic stability theories to show how to choose initial conditions without causing blow up of numerical simulations, and carry out specific analysis through the stochastic nonlinear Kubo oscillator.

Original language	English
Title of host publication	AIP Conference Proceedings
Editors	Theodore E. Simos, Theodore E. Simos, Theodore E. Simos, Theodore E. Simos, Theodore E. Simos, Theodore E. Simos, Charalambos Tsitouras
Publisher	American Institute of Physics
Edition	1
ISBN (Electronic)	9780735449541
DOIs	https://doi.org/10.1063/5.0210411
State	Published - 7 Jun 2024
Externally published	Yes
Event	International Conference of Numerical Analysis and Applied Mathematics 2022, ICNAAM 2022 - Heraklion, Greece Duration: 19 Sep 2022 → 25 Sep 2022

Publication series

Name	AIP Conference Proceedings
Number	1
Volume	3094
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	International Conference of Numerical Analysis and Applied Mathematics 2022, ICNAAM 2022
Country/Territory	Greece
City	Heraklion
Period	19/09/22 → 25/09/22

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10.1063/5.0210411

Cite this

Yang, G., Burrage, K., Burarge, P., & Ding, X. (2024). How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably. In T. E. Simos, T. E. Simos, T. E. Simos, T. E. Simos, T. E. Simos, T. E. Simos, & C. Tsitouras (Eds.), AIP Conference Proceedings (1 ed.). Article 500017 (AIP Conference Proceedings; Vol. 3094, No. 1). American Institute of Physics. https://doi.org/10.1063/5.0210411

Yang, Guoguo ; Burrage, Kevin ; Burarge, Pamela et al. / How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably. AIP Conference Proceedings. editor / Theodore E. Simos ; Theodore E. Simos ; Theodore E. Simos ; Theodore E. Simos ; Theodore E. Simos ; Theodore E. Simos ; Charalambos Tsitouras. 1. ed. American Institute of Physics, 2024. (AIP Conference Proceedings; 1).

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title = "How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably",

abstract = "A method for choosing an appropriate initial condition to simulate stochastic differential equations stably is proposed. We apply Lyapunov stability and asymptotic stability theories to show how to choose initial conditions without causing blow up of numerical simulations, and carry out specific analysis through the stochastic nonlinear Kubo oscillator.",

author = "Guoguo Yang and Kevin Burrage and Pamela Burarge and Xiaohua Ding",

note = "Publisher Copyright: {\textcopyright} 2024 American Institute of Physics Inc.. All rights reserved.; International Conference of Numerical Analysis and Applied Mathematics 2022, ICNAAM 2022 ; Conference date: 19-09-2022 Through 25-09-2022",

year = "2024",

month = jun,

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doi = "10.1063/5.0210411",

language = "英语",

series = "AIP Conference Proceedings",

publisher = "American Institute of Physics",

number = "1",

editor = "Simos, \{Theodore E.\} and Simos, \{Theodore E.\} and Simos, \{Theodore E.\} and Simos, \{Theodore E.\} and Simos, \{Theodore E.\} and Simos, \{Theodore E.\} and Charalambos Tsitouras",

booktitle = "AIP Conference Proceedings",

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Yang, G, Burrage, K, Burarge, P & Ding, X 2024, How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably. in TE Simos, TE Simos, TE Simos, TE Simos, TE Simos, TE Simos & C Tsitouras (eds), AIP Conference Proceedings. 1 edn, 500017, AIP Conference Proceedings, no. 1, vol. 3094, American Institute of Physics, International Conference of Numerical Analysis and Applied Mathematics 2022, ICNAAM 2022, Heraklion, Greece, 19/09/22. https://doi.org/10.1063/5.0210411

How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably. / Yang, Guoguo; Burrage, Kevin; Burarge, Pamela et al.
AIP Conference Proceedings. ed. / Theodore E. Simos; Theodore E. Simos; Theodore E. Simos; Theodore E. Simos; Theodore E. Simos; Theodore E. Simos; Charalambos Tsitouras. 1. ed. American Institute of Physics, 2024. 500017 (AIP Conference Proceedings; Vol. 3094, No. 1).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Ding, Xiaohua

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AB - A method for choosing an appropriate initial condition to simulate stochastic differential equations stably is proposed. We apply Lyapunov stability and asymptotic stability theories to show how to choose initial conditions without causing blow up of numerical simulations, and carry out specific analysis through the stochastic nonlinear Kubo oscillator.

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M3 - 会议稿件

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T3 - AIP Conference Proceedings

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How to Choose an Appropriate Initial Condition to Simulate Stochastic Differential Equations Stably

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