Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme

Wen-Xian Xie, Li Cai and Wei Xu

Physica A: Statistical Mechanics and its Applications, 2007, vol. 373, issue C, 183-190

Abstract: The present paper is devoted to the numerical solution of the Fokker–Planck (FP) equation associated to the Duffing oscillator driven by colored noise. We propose an improved discretization of the standard FP operator-splitting method which renders the scheme unconditionally stable. This scheme is successfully applied to explore the influence of the colored noise on the probability density.

Keywords: Fokker–Planck equation; Duffing oscillator; Colored-noise process; Operator-splitting method; Nonstandard difference scheme (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:373:y:2007:i:c:p:183-190

DOI: 10.1016/j.physa.2006.05.021

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