Numerical discretization of stochastic oscillators with generalized numerical integrators
In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and the velocity components, we show that the scheme has an order of 3/2 in one s...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VINCA Institute of Nuclear Sciences
2021-01-01
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| Series: | Thermal Science |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-9836/2021/0354-98362100008S.pdf |