WONG-ZAKAI METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS IN ENGINEERING

Abstract

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.