Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations

DOI10.1007/s00211-011-0426-8zbMath1247.65004OpenAlexW2039044025MaRDI QIDQ415509

J. Herrera, H. S. Yoon

Publication date: 8 May 2012

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/317260/files/211_2011_Article_426.pdf

zbMATH Keywords

convergenceerror boundsstiff systemsemi-linear stochastic wave equationhigh frequency oscillatory solutionsecond-order stochastic differential equationstochastic Fermi-Pasta-Ulam problemstochastic trigonometric scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for stiff equations (65L04)

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