Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme

The present paper is devoted to the numerical solution of the Fokker–Planck (FP) equation associated to the Duffing oscillator driven by colored noise. We propose an improved discretization of the standard FP operator-splitting method which renders the scheme unconditionally stable. This scheme is successfully applied to explore the influence of the colored noise on the probability density.

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Year of publication:	2007
Authors:	Xie, Wen-Xian ; Cai, Li ; Xu, Wei
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 373.2007, C, p. 183-190
Publisher:	Elsevier
Subject:	Fokker–Planck equation \| Duffing oscillator \| Colored-noise process \| Operator-splitting method \| Nonstandard difference scheme

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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