A Magnus-based integrator for Brownian parametric semi-linear oscillators

Raffaele D'Ambrosio, Hugo de la Cruz and Carmela Scalone

Applied Mathematics and Computation, 2024, vol. 472, issue C

Abstract: We introduce a numerical method for solving second-order stochastic differential equations of the form x¨=−ω2(t)x+f(t,x)+σ(t)ξ(t), describing a class of nonlinear oscillators with non-constant frequency, perturbed by white noise ξ(t). The proposed scheme takes advantages of the Magnus approach to construct an integrator for this stochastic oscillator. Its convergence properties are rigorously analyzed and selected numerical experiments on relevant stochastic oscillators are carried out, confirming the effectiveness and the competitive behavior of the proposed method, in comparison with standard integrators in the literature.

Keywords: Stochastic differential equations; Stochastic oscillators; Magnus expansions (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:472:y:2024:i:c:s0096300324000821

DOI: 10.1016/j.amc.2024.128610

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