On the numerical structure preservation of nonlinear damped stochastic oscillators

DOI10.1007/s11075-020-00918-5zbMath1459.65008OpenAlexW3038180000MaRDI QIDQ2225510

Raffaele D'Ambrosio, Carmela Scalone

Publication date: 8 February 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00918-5

zbMATH Keywords

stochastic differential equationsnonlinear damped stochastic oscillatorsstochastic \(\theta\)-methodsstructure preservation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (12)

Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods ⋮ Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Variable stepsize multivalue collocation methods ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Filon quadrature for stochastic oscillators driven by time-varying forces ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs

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