Filon quadrature for stochastic oscillators driven by time-varying forces

DOI10.1016/J.APNUM.2021.06.005MaRDI QIDQ2048415zbMATH OpenOpenAlexFDO

Authors Raffaele D'Ambrosio, Carmela Scalone

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

Filon's quadratureperiodic time-varying forcestochastic differential equationsstochastic oscillators

Mathematics Subject Classification ID

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

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Cites work

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• Exponential integrators
• Geometric Numerical Integration
• scientific article; zbMATH DE number 5297089 (Why is no real title available?)
• scientific article; zbMATH DE number 2232118 (Why is no real title available?)
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• Numerical simulation of a linear stochastic oscillator with additive noise
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• Stochastic oscillator: Brownian motion with adhesion
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• Weak second order multirevolution composition methods for highly oscillatory stochastic differential equations with additive or multiplicative noise

Cited in

(8)

• Asymptotic-numerical solvers for highly oscillatory ordinary differential equations and Hamiltonian systems
• Positivity preserving stochastic \(\theta\)-methods for selected SDEs
• Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• 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
• An explicit Euler scheme for generalized n-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises

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