Numerical simulation of a linear stochastic oscillator with additive noise

A.H. Strømmen Melbø, D.J. Higham

Research output: Contribution to journalArticle

35 Citations (Scopus)

Abstract

The ability of numerical methods to reproduce long-time features of a linear stochastic oscillator is examined. It is shown that certain, widely-used, methods fail to capture the correct second moment growth rate, whereas a customized extension of the partitioned Euler method behaves well in this respect. It is also shown that the partitioned Euler method inherits an infinite-oscillation property. A weaker oscillation result is proved for a wide class of numerical methods.
LanguageEnglish
Pages89-99
Number of pages10
JournalApplied Numerical Mathematics
Volume51
Issue number1
DOIs
Publication statusPublished - Oct 2004

Fingerprint

Euler's method
Additive noise
Additive Noise
Numerical methods
Numerical Methods
Oscillation
Numerical Simulation
Computer simulation
Moment
Class

Keywords

  • numerical methods
  • mathematics
  • linear stochastic oscillator
  • Euler method

Cite this

Strømmen Melbø, A.H. ; Higham, D.J. / Numerical simulation of a linear stochastic oscillator with additive noise. In: Applied Numerical Mathematics. 2004 ; Vol. 51, No. 1. pp. 89-99.
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Numerical simulation of a linear stochastic oscillator with additive noise. / Strømmen Melbø, A.H.; Higham, D.J.

In: Applied Numerical Mathematics, Vol. 51, No. 1, 10.2004, p. 89-99.

Research output: Contribution to journalArticle

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