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  • Search: subject:"Highly oscillatory problems"
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Highly oscillatory problems 1 Kubo oscillator 1 Langevin equation 1 Numerical schemes 1 Stochastic oscillators 1 Stochastic trigonometric integrators 1
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Cohen, David 1
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Mathematics and Computers in Simulation (MATCOM) 1
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On the numerical discretisation of stochastic oscillators
Cohen, David - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 8, pp. 1478-1495
In this article, we propose an approach, based on the variation-of-constants formula, for the numerical discretisation over long-time intervals of several stochastic oscillators. Additive and multiplicative noises are treated separately. The proposed schemes permit the use of large step sizes in...
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