On the numerical discretisation of stochastic oscillators

Cohen, David. (2012) On the numerical discretisation of stochastic oscillators. Mathematics and Computers in Simulation, 82 (8). pp. 1478-1495.

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Official URL: http://edoc.unibas.ch/45509/

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In this article, we propose an approach, based on the variation-of-constants formula, for the numerical discretisation over long-time intervals of several stochastic oscillators. Additive and multiplicative noises are treated separately. The proposed schemes permit the use of large step sizes in the presence of a high frequency in the problem and offer various additional properties. These new numerical integrators can be viewed as a stochastic-generalisation of the trigonometric integrators for highly oscillatory deterministic problems.
Faculties and Departments:05 Faculty of Science > Departement Mathematik und Informatik > Ehemalige Einheiten Mathematik & Informatik > Numerik (Cohen)
UniBasel Contributors:Cohen, David
Item Type:Article, refereed
Article Subtype:Research Article
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:19 Jan 2018 07:44
Deposited On:19 Jan 2018 07:44

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