Predictor–corrector methods for a linear stochastic oscillator with additive noise
نویسندگان
چکیده
منابع مشابه
Predictor-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...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2007
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2006.12.009