Numerical discretization of stochastic oscillators with generalized numerical integrators

Sırma A., Köşker R. , Akat M.

Thermal Science, cilt.25, sa.1, ss.65-75, 2021 (SCI Expanded İndekslerine Giren Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25 Konu: 1
  • Basım Tarihi: 2021
  • Doi Numarası: 10.2298/tsci200630008s
  • Dergi Adı: Thermal Science
  • Sayfa Sayıları: ss.65-75


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.