Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations (Q415509): Difference between revisions
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Property / author: H. S. Yoon / rank | |||
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The authors present an error analysis for a class of stochastic trigonometric schemes associated to the stiff second-order stochastic differential equation (SDE) \[ \ddot{X}_t + \frac{1}{\varepsilon^2}AX_t=g(X_t)+B\dot{W}_t \] where \(\varepsilon \ll1\) and \(A\) is a symmetric positive definite matrix. This equation is rewritten as a system of first order SDEs and it becomes possible to use the variation-of-constants formula. After discretising and choosing two filter functions they obtain a family of explicit trigonometric integrators. The proposed schemes permit the use of large step sizes and have uniform global error bounds in the position (i.e., independent of the large frequencies present in the SDE). In the final section, the authors consider two applications: the stochastic Fermi-Pasta-Ulam problem and a semi-linear stochastic wave equation. Both cases illustrate the robustness of the stochastic trigonometric numerical schemes. | |||
Property / review text: The authors present an error analysis for a class of stochastic trigonometric schemes associated to the stiff second-order stochastic differential equation (SDE) \[ \ddot{X}_t + \frac{1}{\varepsilon^2}AX_t=g(X_t)+B\dot{W}_t \] where \(\varepsilon \ll1\) and \(A\) is a symmetric positive definite matrix. This equation is rewritten as a system of first order SDEs and it becomes possible to use the variation-of-constants formula. After discretising and choosing two filter functions they obtain a family of explicit trigonometric integrators. The proposed schemes permit the use of large step sizes and have uniform global error bounds in the position (i.e., independent of the large frequencies present in the SDE). In the final section, the authors consider two applications: the stochastic Fermi-Pasta-Ulam problem and a semi-linear stochastic wave equation. Both cases illustrate the robustness of the stochastic trigonometric numerical schemes. / rank | |||
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Property / reviewed by: Dominique Lépingle / rank | |||
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Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 34F05 / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / Mathematics Subject Classification ID: 65L04 / rank | |||
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Property / Mathematics Subject Classification ID: 65L70 / rank | |||
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Property / Mathematics Subject Classification ID: 65L20 / rank | |||
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Property / zbMATH DE Number: 6031815 / rank | |||
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second-order stochastic differential equation | |||
Property / zbMATH Keywords: second-order stochastic differential equation / rank | |||
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stochastic trigonometric scheme | |||
Property / zbMATH Keywords: stochastic trigonometric scheme / rank | |||
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high frequency oscillatory solution | |||
Property / zbMATH Keywords: high frequency oscillatory solution / rank | |||
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stiff system | |||
Property / zbMATH Keywords: stiff system / rank | |||
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convergence | |||
Property / zbMATH Keywords: convergence / rank | |||
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error bounds | |||
Property / zbMATH Keywords: error bounds / rank | |||
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stochastic Fermi-Pasta-Ulam problem | |||
Property / zbMATH Keywords: stochastic Fermi-Pasta-Ulam problem / rank | |||
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semi-linear stochastic wave equation | |||
Property / zbMATH Keywords: semi-linear stochastic wave equation / rank | |||
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Revision as of 20:32, 29 June 2023
scientific article
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English | Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations |
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Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations (English)
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8 May 2012
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The authors present an error analysis for a class of stochastic trigonometric schemes associated to the stiff second-order stochastic differential equation (SDE) \[ \ddot{X}_t + \frac{1}{\varepsilon^2}AX_t=g(X_t)+B\dot{W}_t \] where \(\varepsilon \ll1\) and \(A\) is a symmetric positive definite matrix. This equation is rewritten as a system of first order SDEs and it becomes possible to use the variation-of-constants formula. After discretising and choosing two filter functions they obtain a family of explicit trigonometric integrators. The proposed schemes permit the use of large step sizes and have uniform global error bounds in the position (i.e., independent of the large frequencies present in the SDE). In the final section, the authors consider two applications: the stochastic Fermi-Pasta-Ulam problem and a semi-linear stochastic wave equation. Both cases illustrate the robustness of the stochastic trigonometric numerical schemes.
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second-order stochastic differential equation
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stochastic trigonometric scheme
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high frequency oscillatory solution
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stiff system
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convergence
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error bounds
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stochastic Fermi-Pasta-Ulam problem
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semi-linear stochastic wave equation
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