Predictor-corrector methods for a linear stochastic oscillator with additive noise

doi:10.1016/j.mcm.2006.12.009

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	Predictor-corrector methods for a linear stochastic oscillator with additive noise
	Hong, Jialin ; Scherer, Rudolf ; Wang, Lijin
	2007-09-01
发表期刊	MATHEMATICAL AND COMPUTER MODELLING
ISSN	0895-7177
卷号	46 期号:5-6 页码:738-764
摘要	The predictor-corrector methods P(EC)(k) with equidistant discretization are applied to the numerical integration of a linear stochastic oscillator. Their ability in preserving the symplecticity, the linear growth property of the second moment, and the oscillation property of the solution of this stochastic system is studied. Their mean-square orders of convergence are discussed. Numerical experiments are performed. (C) 2007 Elsevier Ltd. All rights reserved.
关键词	predictor-corrector method linear stochastic oscillator symplecticity stochastic Hamiltonian system second moment mean-square convergence
DOI	10.1016/j.mcm.2006.12.009
语种	英语
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号	WOS:000247823500013
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4195
专题	中国科学院数学与系统科学研究院
通讯作者	Hong, Jialin
作者单位	1.Chinese Acad Sci, State Key Lab Sci & Engn Comp, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Karlsruhe TH, Inst Appl & Numer Math, D-76128 Karlsruhe, Germany 3.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Hong, Jialin,Scherer, Rudolf,Wang, Lijin. Predictor-corrector methods for a linear stochastic oscillator with additive noise[J]. MATHEMATICAL AND COMPUTER MODELLING,2007,46(5-6):738-764.
APA	Hong, Jialin,Scherer, Rudolf,&Wang, Lijin.(2007).Predictor-corrector methods for a linear stochastic oscillator with additive noise.MATHEMATICAL AND COMPUTER MODELLING,46(5-6),738-764.
MLA	Hong, Jialin,et al."Predictor-corrector methods for a linear stochastic oscillator with additive noise".MATHEMATICAL AND COMPUTER MODELLING 46.5-6(2007):738-764.