Numerical methods for second-order stochastic differential equations

We seek numerical methods for second‐order stochastic differential equations that reproduce the stationary density accurately for all values of damping. A complete analysis is possible for scalar linear second‐order equations (damped harmonic oscillators with additive noise), where the statistics are Gaussian and can be calculated exactly in the continuous‐time and discrete‐time cases. A matrix equation is given for the stationary variances and correlation for methods using one Gaussian random variable per timestep. The only Runge–Kutta method with a nonsingular tableau matrix that gives the exact steady state density for all values of damping is the implicit midpoint rule. Numerical experiments, comparing the implicit midpoint rule with Heun and leapfrog methods on nonlinear equations with additive or multiplicative noise, produce behavior similar to the linear case.

Application of higher order spectra to identify epileptic EEG

Epilepsy is characterized by the spontaneous and seemingly unforeseeable occurrence of seizures, during which the perception or behavior of patients is disturbed. An automatic system that detects seizure onsets would allow patients or the people near them to take appropriate precautions, and could provide more insight into this phenomenon. Various methods have been proposed to predict the onset of seizures based on EEG recordings. The use of nonlinear features motivated by the higher order spectra (HOS) has been reported to be a promising approach to differentiate between normal, background (pre-ictal) and epileptic EEG signals. In this work, we made a comparative study of the performance of Gaussian mixture model (GMM) and Support Vector Machine (SVM) classifiers using the features derived from HOS and from the power spectrum. Results show that the selected HOS based features achieve 93.11% classification accuracy compared to 88.78% with features derived from the power spectrum for a GMM classifier. The SVM classifier achieves an improvement from 86.89% with features based on the power spectrum to 92.56% with features based on the bispectrum.