THERMAL SCIENCE

International Scientific Journal

WONG-ZAKAI METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN ENGINEERING

ABSTRACT
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.
KEYWORDS
PAPER SUBMITTED: 2020-05-28
PAPER REVISED: 2020-10-14
PAPER ACCEPTED: 2020-10-22
PUBLISHED ONLINE: 2021-01-24
DOI REFERENCE: https://doi.org/10.2298/TSCI200528014S
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2021, VOLUME 25, ISSUE Special issue 1, PAGES [131 - 142]
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© 2021 Society of Thermal Engineers of Serbia. Published by the Vinča Institute of Nuclear Sciences, Belgrade, Serbia. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International licence