On preserving long-time features of a linear stochastic oscillator
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Other physical applications of random processes (60K40) Numerical solutions to stochastic differential and integral equations (65C30)
A numerical method is proposed for solving the stochastic differential equation (SDE) \[ dX_t= a(t, X_t)\,dt+ \sum^m_{k=1} b^k(t, X_t)\,dW^k_t,\quad X_{t_0}= X_0, \] where \(a\), \(b^k\) are \(\mathbb{R}^d\)-valued functions and \(W_t\) is a standard Wiener process. The method is shown to have mean square order \({1\over 2}\) in general and order 1 for SDEs with additive noise. Then the method is applied to the linear stochastic oscillator \[ \ddot X_t+ X_t= \alpha\dot W_t, \] where \(\alpha\) is a positive constant. The resulting approximate solution is shown to have linear growth of the second moment and to oscillate infinitely often.
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