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Theory and Modern Applications

Table 5 Absolute error of the expectation and variance of \(\pmb{Q_{n}}\) with \(\pmb{h=\frac{1}{20}}\)

From: Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise

t

expectation

variance

0.1

1.81855 × 10−9

5.03579 × 10−7

0.2

3.68255 × 10−9

3.92178 × 10−6

0.3

5.60162 × 10−9

1.28015 × 10−5

0.4

7.60549 × 10−9

2.92113 × 10−5

0.5

9.68700 × 10−9

5.46908 × 10−5

0.6

1.18932 × 10−8

9.02095 × 10−5

0.7

1.42378 × 10−8

1.36148 × 10−4

0.8

1.67180 × 10−8

1.92299 × 10−4

0.9

1.93713 × 10−8

2.57896 × 10−4

1

2.22230 × 10−8

3.31654 × 10−4