Year: 2017
Author: Xiuling Yin, Chengjian Zhang, Yanqin Liu
Journal of Computational Mathematics, Vol. 35 (2017), Iss. 6 : pp. 801–813
Abstract
This paper applies exponentially fitted trapezoidal scheme to a stochastic oscillator. The scheme is convergent with mean-square order 1 and symplectic. Its numerical solution oscillates and the second moment increases linearly with time. The numerical example verifies the analysis of the scheme.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1612-m2016-0677
Journal of Computational Mathematics, Vol. 35 (2017), Iss. 6 : pp. 801–813
Published online: 2017-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: Exponentially fitted trapezoidal scheme Symplectic