International Scientific Journal
WONG-ZAKAI METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN ENGINEERING
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.
PAPER SUBMITTED: 2020-05-28
PAPER REVISED: 2020-10-14
PAPER ACCEPTED: 2020-10-22
PUBLISHED ONLINE: 2021-01-24