Predictor-corrector methods for a linear stochastic oscillator with additive noise
Predictor-corrector methods for a linear stochastic oscillator with additive noise
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DOI：
10.1016/j.mcm.2006.12.009
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发表时间：
2007-09
期刊：
影响因子：
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通讯作者：
Jialin Hong;R. Scherer;Lijin Wang
中科院分区：
文献类型：
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作者：
Jialin Hong;R. Scherer;Lijin Wang
具有等距离散化的预测校正方法 P(EC)k 应用于线性随机振荡器的数值积分。研究了它们保持辛性的能力、二阶矩的线性增长性质以及该随机系统解的振荡性质。讨论了它们的均方收敛阶。进行了数值实验。
The predictor–corrector methods P(EC)kwith equidistant discretization are applied to the numerical integration of a linear stochastic oscillator. Their ability in preserving the symplecticity, the linear growth property of the second moment, and the oscillation property of the solution of this stochastic system is studied. Their mean-square orders of convergence are discussed. Numerical experiments are performed.