Wong-Zakai method for stochastic differential equations in engineering
Künye
Sengul, S., Bekiryazici, Z. & Merdan, M. (2021). Wong-Zakai method for stochastic differential equations in engineering. Thermal Science, 25(1), S131-S142. https://doi.org/10.2298/TSCI200528014SÖzet
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-Alartiyama 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 he used as an alternative for the known approximation techniques for stochastic models.