Adaptive Methods for Transient Noise Analysis

Stochastic differential algebraic equations (SDAEs) arise as a mathematical model for electrical network equations that are influenced by additional sources of Gaussian white noise. In this paper we discuss adaptive linear multistep methods for the numerical integration of SDAEs, in particular stochastic analogues of the trapezoidal rule and the two-step backward differentiation formula, together with a new step-size control strategy. Test results illustrate the performance of the presented methods.

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