Predictor-corrector methods for a linear stochastic oscillator with additive noise (Q2467150): Difference between revisions
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Revision as of 07:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Predictor-corrector methods for a linear stochastic oscillator with additive noise |
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Predictor-corrector methods for a linear stochastic oscillator with additive noise (English)
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18 January 2008
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Various predictor-corrector methods with equidistant discretization are applied to the numerical integration of a linear oscillator with additive noise. Their ability in preserving the symplecticity, the linear growth property of the second moment, and the oscillation property of the solution of this stochastic system is studied. Their mean-square orders of convergence are discussed. Several numerical experiments are performed.
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Predictor-corrector method
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Linear stochastic oscillator
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Symplecticity
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Stochastic Hamiltonian system
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Second moment
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Mean-square convergence
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Numerical experiments
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