Numerical simulation of a linear stochastic oscillator with additive noise

DOI10.1016/j.apnum.2004.02.003zbMath1060.65007OpenAlexW1992881609MaRDI QIDQ1883488

Aslaug H. Strømmen Melbø, Desmond J. Higham

Publication date: 12 October 2004

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/164/

zbMATH Keywords

stabilityWiener processstochastic differential equationsstochastic systemsdiscretization methodsstochastic oscillatorEuler-Maruyama methodoscillation propertiesItô-Taylor methodslinear oscillator with additive noisepartitioned Euler methodsecond moment growth rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic stability in control theory (93E15) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• A survey of numerical methods for stochastic differential equations
• Stochastic oscillators
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Moment attractivity, stability and contractivity exponents of stochastic dynamical systems

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