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The performance of wong-zakai approximations for the investigation of stochastic differential equation models with nonlinear multiplicative noise

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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.

Anahtar Kelimeler

Milstein methodMultiplicative noiseSimulationStochastic noiseWong-Zakai Approximation, stochastic differential equation
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AlanDeğerDil
dc.contributor.authorSengul, S.
dc.contributor.authorBekiryazici, Z.
dc.contributor.authorMerdan, M.
dc.date.accessioned2026-10-22T10:23:12.081742035Z
dc.date.available2026-10-22T10:23:12.081742035Z
dc.date.issued2021
dc.description.abstractIn 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.
dc.identifier.eissn0862-9544
dc.identifier.endpage243
dc.identifier.issn0862-9544
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85107288233
dc.identifier.startpage231
dc.identifier.urihttps://rdlopen.rawdatalibrary.net/r/gumushane/14829
dc.identifier.volume90
dc.identifier.wosWOS:000652481100009
dc.language.isoen
dc.publisherComenius University in Bratislava
dc.relation.ispartofActa Mathematica Universitatis Comenianae
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectMilstein method
dc.subjectMultiplicative noise
dc.subjectSimulation
dc.subjectStochastic noise
dc.subjectWong-Zakai Approximation, stochastic differential equation
dc.subject.classificationMathematics
dc.subject.otherCONVERGENCE
dc.titleThe performance of wong-zakai approximations for the investigation of stochastic differential equation models with nonlinear multiplicative noise
dc.typeArticle
dspace.entity.typePublication
rdl.citation.scopus0
rdl.citation.wos0
rdl.oa.statusclosed
rdl.source.indexSCOPUS
rdl.source.indexWOS
rdl.wos.indexEmerging Sources Citation Index (ESCI)