Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators

DOI10.1016/j.apnum.2019.08.011zbMath1453.65015OpenAlexW2969395230MaRDI QIDQ2301274

Vincenzo Citro, Raffaele D'Ambrosio

Publication date: 24 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.08.011

zbMATH Keywords

stochastic oscillatorslong-term analysisstochastic \(\theta\)-methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (13)

Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods ⋮ Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method ⋮ Dynamical low-rank approximation to the solution of parabolic differential equations ⋮ Jacobian-dependent vs Jacobian-free discretizations for nonlinear differential problems ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ On the numerical structure preservation of nonlinear damped stochastic oscillators ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Filon quadrature for stochastic oscillators driven by time-varying forces ⋮ Asymptotic-numerical solvers for highly oscillatory ordinary differential equations and Hamiltonian systems

Uses Software

• RODAS

Cites Work

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