Predictor-corrector methods for a linear stochastic oscillator with additive noise

DOI10.1016/J.MCM.2006.12.009MaRDI QIDQ2467150zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Linear stochastic oscillatorMean-square convergenceNumerical experimentsPredictor-corrector methodSecond momentStochastic Hamiltonian systemSymplecticity

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Review text

Various predictor-corrector methods with equidistant discretization are applied to the numerical integration of a linear oscillator with additive noise. Their ability in preserving the symplecticity, the linear growth property of the second moment, and the oscillation property of the solution of this stochastic system is studied. Their mean-square orders of convergence are discussed. Several numerical experiments are performed.

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Cites work

• An algorithmic introduction to numerical simulation of stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Midpoint rule for a linear stochastic oscillator with additive noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Numerical simulation of a linear stochastic oscillator with additive noise
• Stochastic oscillators
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization

Cited in

(17)

• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• A review on numerical schemes for solving a linear stochastic oscillator
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Qualitative analysis and simulation of a 10 degrees of freedom model of an electrically operated vehicle
• Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
• Generating functions for stochastic symplectic methods
• Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
• On the numerical discretisation of stochastic oscillators
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Midpoint rule for a linear stochastic oscillator with additive noise
• scientific article; zbMATH DE number 7485185 (Why is no real title available?)
• Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• Projection methods for stochastic differential equations with conserved quantities
• Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems
• On preserving long-time features of a linear stochastic oscillator

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