Exact finite-difference schemes for \(d\)-dimensional linear stochastic systems with constant coefficients
type: Item
instance of: scholarly article
title: Exact finite-difference schemes for \(d\)-dimensional linear stochastic systems with constant coefficients
zbMATH Open document ID: 1397.65018
DOI: 10.1155/2013/830936
author: Peng Jiang
author: Xiaofeng Ju
author: Dan Liu
author: Shaoqun Fan
published in: Journal of Applied Mathematics
publication date: 2018-10-10T00:00:00Z
review text: Summary: The authors attempt to construct the exact finite-difference schemes for linear stochastic differential equations with constant coefficients. The explicit solutions to Itô and Stratonovich linear stochastic differential equations with constant coefficients are adopted with the view of providing exact finite-difference schemes to solve them. In particular, the authors utilize the exact finite-difference schemes of Stratonovich type linear stochastic differential equations to solve the Kubo oscillator that is widely used in physics. Further, the authors prove that the exact finite-difference schemes can preserve the symplectic structure and first integral of the Kubo oscillator. The authors also use numerical examples to prove the validity of the numerical methods proposed in this paper.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65L12
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 6950895
Wikidata QID: Q59004709
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/830936
OpenAlex ID: W2037209701
DBLP publication ID: journals/jam/JiangJLF13
description: scientific article; zbMATH DE number 6950895