Long-term analysis of stochastic θ-methods for damped stochastic oscillators

被引：23
作者：
Citro, Vincenzo [1 ]
D'Ambrosio, Raffaele [2 ]
机构：
[1] Univ Salerno, DIIN, Salerno, Italy
[2] Univ LAquila, Dept Engn & Comp Sci & Math, Laquila, Italy
来源：
APPLIED NUMERICAL MATHEMATICS | 2020年 / 150卷
关键词：
Stochastic theta-methods; Stochastic oscillators; Long-term analysis; DIFFERENTIAL-EQUATIONS; NUMERICAL-SIMULATION; STABILITY;
D O I：
10.1016/j.apnum.2019.08.011
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We analyze long-term properties of stochastic theta-methods for damped linear stochastic oscillators. The presented a-priori analysis of the error in the correlation matrix allows to infer the long-time behaviour of stochastic theta-methods and their capability to reproduce the same long-term features of the continuous dynamics. The theoretical analysis is also supported by a selection of numerical experiments. (C) 2019 IMACS. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：18 / 26
页数：9
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