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

Cohen, David and Sigg, Magdalena. (2011) Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations. Numerische Mathematik, 121 (1). pp. 1-29.

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Official URL: http://edoc.unibas.ch/45653/

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Abstract

We study a class of numerical methods for a system of second-order SDE driven by a linear fast force generating high frequency oscillatory solutions. The proposed schemes permit the use of large step sizes, have uniform global error bounds in the position (i.e. independent of the large frequencies present in the SDE) and offer various additional properties. This new family of numerical integrators for SDE 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)
05 Faculty of Science > Departement Mathematik und Informatik > Mathematik > Numerik (Grote)
UniBasel Contributors:Cohen, David and Sigg, Magdalena
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Springer
ISSN:0029-599X
e-ISSN:0945-3245
Note:Publication type according to Uni Basel Research Database: Journal article
Identification Number:
Last Modified:22 Jan 2018 10:48
Deposited On:16 Jan 2018 09:00

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