On the numerical discretisation of stochastic oscillators

David Cohen

Mathematics and Computers in Simulation (MATCOM), 2012, vol. 82, issue 8, 1478-1495

Abstract: In this article, we propose an approach, based on the variation-of-constants formula, for the numerical discretisation over long-time intervals of several stochastic oscillators. Additive and multiplicative noises are treated separately. The proposed schemes permit the use of large step sizes in the presence of a high frequency in the problem and offer various additional properties. These new numerical integrators can be viewed as a stochastic-generalisation of the trigonometric integrators for highly oscillatory deterministic problems.

Keywords: Stochastic oscillators; Highly oscillatory problems; Kubo oscillator; Langevin equation; Numerical schemes; Stochastic trigonometric integrators (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:82:y:2012:i:8:p:1478-1495

DOI: 10.1016/j.matcom.2012.02.004

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