Numerical simulation of a linear stochastic oscillator with additive noise
نویسندگان
چکیده
منابع مشابه
Symplectic Numerical Methods for a Linear Stochastic Oscillator with Two Additive Noises
Two symplectic numerical integration methods, of mean-square order 1 and 2 respectively, for a linear stochastic oscillator with two additive noises are constructed via the stochastic generating function approach and investigated. They are shown by numerical tests to be efficient and superior to non-symplectic numerical methods.
متن کاملPredictor-corrector methods for a linear stochastic oscillator with additive noise
The predictor-corrector methods P (EC) with equidistant discretization are applied to the numerical integration of a linear stochastic oscillator. Their ability in preserving the symplecticity, the linear growth property of the second moment, and the oscillation property of the solution of this stochastic system is studied. Their mean-square orders of convergence are discussed. Numerical experi...
متن کاملNumerical Solution of Stochastic Differential Equations with Additive Noise by Runge–Kutta Methods
Abstract: In this paper we study the numerical treatment of Stochastic Differential Equations with additive noise and one dimensional Wiener process. We develop two, three and four stage Runge–Kutta methods which attain deterministic order up to four and stochastic order up to one and a half specially constructed for this class of problems. Numerical tests and comparisons with other known metho...
متن کاملStability analysis of numerical methods for stochastic systems with additive noise
Stochastic differential equations (SDEs) represent physical phenomena dominated by stochastic processes. As for deterministic ordinary differential equations (ODEs), various numerical methods are proposed for SDEs. We have proposed two types of numerical stability for SDEs, namely mean-square stability and trajectory stability. However we have considered the analysis for the test equation with ...
متن کاملNumerical Solution of Heun Equation Via Linear Stochastic Differential Equation
In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Numerical Mathematics
سال: 2004
ISSN: 0168-9274
DOI: 10.1016/j.apnum.2004.02.003