NUMERICAL DISCRETIZATION OF STOCHASTIC OSCILLATORS WITH GENERALIZED NUMERICAL INTEGRATORS

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Sirma A., KÖŞKER R., Akat M.

THERMAL SCIENCE, cilt.25, 2021 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25
  • Basım Tarihi: 2021
  • Doi Numarası: 10.2298/tsci200630008s
  • Dergi Adı: THERMAL SCIENCE
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Directory of Open Access Journals
  • Anahtar Kelimeler: stochastic oscillators, numerical schemes, difference schemes, stochastic trigonemetric integrators
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

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 older in overall convergence. Theoretical statements are supported by numerical experiments.