Digital simulation of differential equations driven by white noise

백색잡음 미분방정식에 대한 디지탈 시뮬레이션

This paper analizes two numerical integration methods, both based on the Runge Kutta 4-th order formula for deterministic systems, for digital simulation of a differential equation driven by white noise. It is shown that a "standard' Runge Kutta method for stochasitic systems yields solutions of Stratonovich differential equations, while Riggs and Phillips' method results in solutions of Ito differential equations. Therefore the white noise differential equation must be converted into the equivalent Ito equation before the latter method is used. Digital simulation results for a simple differential equation are also presented.nted.