Locally Linearized methods for the simulation of stochastic oscillators driven by random forces

H. de la Cruz, J. C. Jimenez, J. P. Zubelli

Research output: Contribution to journalArticlepeer-review

30 Scopus citations

Abstract

In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties of simple and coupled harmonic oscillators and paths of nonlinear stochastic oscillators in general. Computer experiments illustrate the theoretical findings and advantages of various Locally Linearized schemes in comparison with other conventional integrators.

Original languageBritish English
Pages (from-to)123-151
Number of pages29
JournalBIT Numerical Mathematics
Volume57
Issue number1
DOIs
StatePublished - 1 Mar 2017

Keywords

  • Coupled oscillators
  • Harmonic oscillators
  • Local linearization approach
  • Long-term integration
  • Numerical schemes
  • Stochastic differential equations
  • Stochastic oscillators

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