Abstract
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 step convergence and a first order in overall convergence. Theoretical statements are supported by numerical experiments.
Keywords
Discretization
Integrator
Convergence (economics)
Mathematics
Numerical analysis
Applied mathematics
Displacement (psychology)
Computer simulation
Scheme (mathematics)
Noise (video)
Constant (computer programming)
Mathematical analysis
Computer science
Subject Areas
Stochastic processes and financial applications
·Finance ·Social Sciences
Advanced Thermodynamics and Statistical Mechanics
·Statistical and Nonlinear Physics ·Physical Sciences
Meteorological Phenomena and Simulations
·Atmospheric Science ·Physical Sciences
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