On the numerical discretisation of stochastic oscillators
Artikel i vetenskaplig tidskrift, 2012

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.

Highly oscillatory problems

Numerical schemes

Kubo oscillator

Stochastic oscillators

Stochastic trigonometric integrators

Langevin equation


David Cohen

Universität Basel

Mathematics and Computers in Simulation

0378-4754 (ISSN)

Vol. 82 8 1478-1495





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