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NUMERICAL DISCRETIZATION OF STOCHASTIC OSCILLATORS WITH GENERALIZED NUMERICAL INTEGRATORS

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
PAPER SUBMITTED: 2020-06-30
PAPER REVISED: 2020-11-07
PAPER ACCEPTED: 2020-11-13
PUBLISHED ONLINE: 2021-01-24
DOI REFERENCE: https://doi.org/10.2298/TSCI200630008S
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2021, VOLUME 25, ISSUE Special issue 1, PAGES [65 - 75]
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© 2021 Society of Thermal Engineers of Serbia. Published by the Vinča Institute of Nuclear Sciences, Belgrade, Serbia. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International licence