Predictor-corrector methods for a linear stochastic oscillator with additive noise
DOI10.1016/J.MCM.2006.12.009zbMATH Open1140.65014OpenAlexW2070812878MaRDI QIDQ2467150FDOQ2467150
Authors: Jialin Hong, Rudolf Scherer, Lijin Wang 
Publication date: 18 January 2008
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2006.12.009
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Numerical experimentsPredictor-corrector methodSecond momentSymplecticityLinear stochastic oscillatorMean-square convergenceStochastic Hamiltonian system
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Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Symplectic Integration of Hamiltonian Systems with Additive Noise
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Numerical simulation of a linear stochastic oscillator with additive noise
- Midpoint rule for a linear stochastic oscillator with additive noise
- The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
- Stochastic oscillators
Cited In (17)
- On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
- Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
- On the numerical discretisation of stochastic oscillators
- Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
- On preserving long-time features of a linear stochastic oscillator
- A review on numerical schemes for solving a linear stochastic oscillator
- Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
- Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
- Generating functions for stochastic symplectic methods
- Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems
- Qualitative analysis and simulation of a 10 degrees of freedom model of an electrically operated vehicle
- Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
- Midpoint rule for a linear stochastic oscillator with additive noise
- Title not available (Why is that?)
- Locally linearized methods for the simulation of stochastic oscillators driven by random forces
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Projection methods for stochastic differential equations with conserved quantities
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