Numerical Methods for Second‐Order Stochastic Differential Equations

DOI10.1137/050646032zbMath1144.65004OpenAlexW2090858114WikidataQ56838961 ScholiaQ56838961MaRDI QIDQ5444252

Grant Lythe, Ian Lenane, Kevin Burrage

Publication date: 25 February 2008

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050646032

zbMATH Keywords

stationary distributionmultiplicative noisedamped harmonic oscillatorsstochastic Runge-Kutta methodsimplicit mid-point rulesecond-order stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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