Filon quadrature for stochastic oscillators driven by time-varying forces

DOI10.1016/j.apnum.2021.06.005OpenAlexW3168915185MaRDI QIDQ2048415

Carmela Scalone, Raffaele D'Ambrosio

Publication date: 5 August 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.06.005

zbMATH Keywords

stochastic differential equationsstochastic oscillatorsFilon's quadratureperiodic time-varying force

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Asymptotic-numerical solvers for highly oscillatory ordinary differential equations and Hamiltonian systems ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs

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