ABSTRACT
The fixed time step integration method proposed in 2 is used to construct recurrence formulas for generating samples of processes X(t) defined by stochastic differential equations (SDEs) with Gaussian (GWN) and Poisson white noise (PWN). Numerical examples are employed to show that the sequence of processes Xn(t) defined by these recurrence formulas can be used to assess the stability of the trivial solution of SDEs with linear drift and diffusion coefficients driven by GWN and/or PWN and capture the phase transition phenomenon exhibited by the state of a randomized Verhulst model for population growth.
Keywords: Fixed time step integration method, Gaussian and Poisson white noise, Stochastic stability, Phase transition, Stochastic differential equations.
