O. Yu. Kulchitski
Russia, 195251, St.-Petersburg, Polytechnicheskaja st. 29,
St.-Petersburg
State Technical University,
Department of Mechanics
and Control Processes,
D. F. Kuznetsov
Russia, 195251, St.-Petersburg, Polytechnicheskaja st. 29,
St.-Petersburg
State Technical University,
Department of Mathematics,
The paper is devoted to the numerical simulation of stationary systems of linear stochastic differential equations (LSDE). The construction of numerical methods is based on the exact representation of solutions in the Cauchy form. We present certain numerical algorithms that offer essential advantages over other methods. Namely, the stochastic component of a solution is simulated by exact formulas and algorithms are suitable for stationary LSDE of any fixed dimension.