Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1140088 | Mathematics and Computers in Simulation | 2012 | 18 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
David Cohen,