Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise

DOI10.1007/S11075-018-0517-ZMaRDI QIDQ670503OpenAlexFDO

Authors M. Malzoumati-Khiaban, Ali Foroush Bastani, Mohammad Reza Yaghouti

Publication date 18 March 2019

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-018-0517-z

zbMATH Keywords

variable step sizestochastic Hamiltonian systemsadditive white noisesymplecticitylinear stochastic oscillatortime regularization

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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Cited in

(2)

• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• An explicit Euler scheme for generalized \(n\)-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises

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