On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises

DOI10.1016/j.apnum.2018.12.001zbMath1407.65016OpenAlexW2902863278MaRDI QIDQ1728329

M. J. Senosiain, Alicia Tocino

Publication date: 22 February 2019

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.12.001

zbMATH Keywords

stochastic differential equationssymplectic methodsstochastic oscillatorstochastic Hamiltonian systemsexponential methodmean energy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes

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