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Wong-Zakai Method for Stochastic Differential Equations in Engineering

MakaleAçık Erişim

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-Maruyama 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 be used as an alternative for the known approximation techniques for stochastic models.

Anahtar Kelimeler

Brownian motionEuler-Maruyama methodMilstein methodsolar irradiancestochastic differential equationWong-Zakai approximation
RDL Kalıcı Bağlantı (PID)
https://rdlopen.rawdatalibrary.net/r/gumushane/13291Resmi atıflarda kullanılan kalıcı adres
DOI
https://doi.org/10.2298/tsci200528014sYayıncı resmi DOI adresi
Tam Kayıt
AlanDeğerDil
dc.contributor.authorSengul, Suleyman
dc.contributor.authorBekiryazici, Zafer
dc.contributor.authorMerdan, Mehmet
dc.date.accessioned2026-10-22T10:21:10.496491444Z
dc.date.available2026-10-22T10:21:10.496491444Z
dc.date.issued2021
dc.description.abstractIn 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-Maruyama 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 be used as an alternative for the known approximation techniques for stochastic models.
dc.description.sponsorshipEuropean Centre for Medium-Range Weather Forecasts
dc.description.sponsorshipEuropean Commission, EC
dc.identifier.doi10.2298/tsci200528014s
dc.identifier.eissn2334-7163
dc.identifier.endpageS142
dc.identifier.issn0354-9836
dc.identifier.scopus2-s2.0-85101626407
dc.identifier.startpageS131
dc.identifier.urihttps://rdlopen.rawdatalibrary.net/r/gumushane/13291
dc.identifier.volume25
dc.identifier.wosWOS:000637582200014
dc.language.isoen
dc.publisherSerbian Society of Heat Transfer Engineers
dc.relation.ispartofThermal Science
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBrownian motion
dc.subjectEuler-Maruyama method
dc.subjectMilstein method
dc.subjectsolar irradiance
dc.subjectstochastic differential equation
dc.subjectWong-Zakai approximation
dc.subject.classificationThermodynamics
dc.subject.otherApproximation theory
dc.subject.otherBrownian movement
dc.subject.otherDifferential equations
dc.subject.otherNumerical methods
dc.subject.otherStochastic systems
dc.subject.otherApproximate solution
dc.subject.otherApproximation methods
dc.subject.otherApproximation scheme
dc.subject.otherEngineering science
dc.subject.otherEuler-Maruyama method
dc.subject.otherMilstein method
dc.subject.otherNumerical results
dc.subject.otherSolar irradiances
dc.subject.otherStochastic differential equations
dc.subject.otherWong-zakai approximation
dc.subject.otherStochastic models
dc.titleWong-Zakai Method for Stochastic Differential Equations in Engineering
dc.typeArticle
dspace.entity.typePublication
rdl.citation.openalex5
rdl.citation.scopus4
rdl.citation.wos4
rdl.oa.statusgold
rdl.oa.urlhttp://www.doiserbia.nb.rs/ft.aspx?id=0354-98362100014S
rdl.source.indexSCOPUS
rdl.source.indexWOS
rdl.wos.indexScience Citation Index Expanded (SCI-EXPANDED)