TY - JOUR
TI - Wong-Zakai method for stochastic differential equations in engineering
AU - Sengul Suleyman
AU - Bekiryazici Zafer
AU - Merdan Mehmet
JN - Thermal Science
PY - 2021
VL - 25
IS - 101
SP - 131
EP - 142
PT - Article
AB - 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.