Stability Issues in MC Integration of SDEs

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户:canyang419
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  One often encounters difficulties in Monte-Carlo simulations of complex stochastic processes.For example,sometimes hyperbolic components appear in a formal diffusion matrix.In this talk,two issues will be discussed:(1)keeping oscillating functionals of complex processes on stable orbits,and(2)filtering away unstable hyperbolic components.In the first situation,we will examine simple complex linear oscillators.The second case will be a coherent states representation for the Bose-Einstein Hamiltonian treated as quantum noise.
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