关联噪声驱动系统的二阶数值模拟算法

Second-order Numerical Simulation Algorithm for Systems Driven by Correlated Noise

推广了单噪声驱动系统的二阶随机龙格 库塔数值模拟算法 ,使之适用于关联白噪声和色噪声共同驱动的系统这一更为复杂的情况 .计算实例表明 ,推广后的算法具有可靠。

The second order stochastic Runge Kutta algorithm for systems driven by a single additive noise is generalized, which makes it more suitable for complex situation. This generalized numerical simulation algorithm is reliable, compact and fast.