Ermakov systems with multiplicative noise

E. Cervantes-López, P.B. Espinoza, A. Gallegos and H.C. Rosu

Physica A: Statistical Mechanics and its Applications, 2014, vol. 401, issue C, 141-147

Abstract: Using the Euler–Maruyama numerical method, we present calculations of the Ermakov–Lewis invariant and the dynamic, geometric, and total phases for several cases of stochastic parametric oscillators, including the simplest case of the stochastic harmonic oscillator. The results are compared with the corresponding numerical noiseless cases to evaluate the effect of the noise. Besides, the noiseless cases are analytic and their analytic solutions are briefly presented. The Ermakov–Lewis invariant is not affected by the multiplicative noise in the three particular examples presented in this work, whereas there is a shift effect in the case of the phases.

Keywords: Ermakov–Lewis invariant; Euler–Maruyama method; Multiplicative noise; Total phase; Geometric phase; Dynamic phase (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:401:y:2014:i:c:p:141-147

DOI: 10.1016/j.physa.2014.01.027

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