On the numerical discretisation of stochastic oscillators
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Publication:449665
DOI10.1016/J.MATCOM.2012.02.004zbMATH Open1246.65012OpenAlexW2056948999MaRDI QIDQ449665FDOQ449665
Authors: David Cohen 
Publication date: 31 August 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2012.02.004
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- On preserving long-time features of a linear stochastic oscillator
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Cited In (33)
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
- Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
- Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
- Filon quadrature for stochastic oscillators driven by time-varying forces
- Full discretization of semilinear stochastic wave equations driven by multiplicative noise
- Split S-ROCK methods for high-dimensional stochastic differential equations
- Title not available (Why is that?)
- 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?
- Exponential discrete gradient schemes for a class of stochastic differential equations
- A review on numerical schemes for solving a linear stochastic oscillator
- Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
- An explicit Euler scheme for generalized \(n\)-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
- Discrete Modeling of Oscillatory Processes in a Blocky Medium
- Runge-Kutta Lawson schemes for stochastic differential equations
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- A family of weak stochastic Newmark methods for simplified and efficient Monte Carlo simulations of oscillators
- Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator
- Drift-preserving numerical integrators for stochastic Poisson systems
- Multirevolution Integrators for Differential Equations with Fast Stochastic Oscillations
- Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators
- Improved \(\vartheta\)-methods for stochastic Volterra integral equations
- Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
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- Asymptotically-Preserving Large Deviations Principles by Stochastic Symplectic Methods for a Linear Stochastic Oscillator
- Cheap arbitrary high order methods for single integrand SDEs
- Locally linearized methods for the simulation of stochastic oscillators driven by random forces
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- Asymptotic-numerical solvers for highly oscillatory ordinary differential equations and Hamiltonian systems
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Projection methods for stochastic differential equations with conserved quantities
- A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
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