Numerical simulation of a linear stochastic oscillator with additive noise

A.H. Strømmen Melbø, D.J. Higham

Research output: Contribution to journalArticle

39 Citations (Scopus)
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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.
Original languageEnglish
Pages (from-to)89-99
Number of pages10
JournalApplied Numerical Mathematics
Volume51
Issue number1
DOIs
Publication statusPublished - Oct 2004

Keywords

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

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