Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations

DOI10.1007/S00211-011-0426-8zbMATH Open1247.65004OpenAlexW2039044025MaRDI QIDQ415509FDOQ415509

Authors: David Cohen, Magdalena Sigg 

Publication date: 8 May 2012

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/317260/files/211_2011_Article_426.pdf

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zbMATH Keywords

convergenceerror boundsstiff systemsemi-linear stochastic wave equationhigh frequency oscillatory solutionsecond-order stochastic differential equationstochastic Fermi-Pasta-Ulam problemstochastic trigonometric scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

Cites Work

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• Topological and $\epsilon$-Entropy for Large Volume Limits of Discretized Parabolic Equations
• On preserving long-time features of a linear stochastic oscillator
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Cited In (14)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• A Uniformly Accurate Scheme for the Numerical Integration of Penalized Langevin Dynamics
• Filon quadrature for stochastic oscillators driven by time-varying forces
• Split S-ROCK methods for high-dimensional stochastic differential equations
• Exponential discrete gradient schemes for a class of stochastic differential equations
• An explicit Euler scheme for generalized \(n\)-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Drift-preserving numerical integrators for stochastic Poisson systems
• Multirevolution Integrators for Differential Equations with Fast Stochastic Oscillations
• An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
• On the oscillatory behavior of coupled stochastic harmonic oscillators driven by random forces
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces

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