A review on numerical schemes for solving a linear stochastic oscillator
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 605497257 | ||
| 003 | CHVBK | ||
| 005 | 20210128100540.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20150601xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s10543-014-0507-z |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10543-014-0507-z | ||
| 245 | 0 | 2 | |a A review on numerical schemes for solving a linear stochastic oscillator |h [Elektronische Daten] |c [M. Senosiain, A. Tocino] |
| 520 | 3 | |a In recent years several numerical methods to solve a linear stochastic oscillator with one additive noise have been proposed. The usual aim of these approaches was to preserve different long time properties of the oscillator solution. In this work we collect these properties, namely, symplecticity, linear growth of its second moment and asymptotic oscillation around zero. We show that these features can be studied in terms of the coefficients of the matrices that appear in the linear recurrence obtained when the schemes are applied to the oscillator. We use this study to compare the numerical schemes as well as to propose new schemes improving some properties of classical methods. | |
| 540 | |a Springer Science+Business Media Dordrecht, 2014 | ||
| 690 | 7 | |a Stochastic differential equations |2 nationallicence | |
| 690 | 7 | |a Stochastic oscillator |2 nationallicence | |
| 690 | 7 | |a Stochastic Hamiltonian systems |2 nationallicence | |
| 690 | 7 | |a Stochastic numerical methods |2 nationallicence | |
| 690 | 7 | |a Stochastic symplectic integrators |2 nationallicence | |
| 690 | 7 | |a Second order moment |2 nationallicence | |
| 700 | 1 | |a Senosiain |D M. |u Department of Mathematics, University of Salamanca, Salamanca, Spain |4 aut | |
| 700 | 1 | |a Tocino |D A. |u Department of Mathematics, University of Salamanca, Salamanca, Spain |4 aut | |
| 773 | 0 | |t BIT Numerical Mathematics |d Springer Netherlands |g 55/2(2015-06-01), 515-529 |x 0006-3835 |q 55:2<515 |1 2015 |2 55 |o 10543 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10543-014-0507-z |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10543-014-0507-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Senosiain |D M. |u Department of Mathematics, University of Salamanca, Salamanca, Spain |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Tocino |D A. |u Department of Mathematics, University of Salamanca, Salamanca, Spain |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t BIT Numerical Mathematics |d Springer Netherlands |g 55/2(2015-06-01), 515-529 |x 0006-3835 |q 55:2<515 |1 2015 |2 55 |o 10543 | ||