On the numerical solution of stochastic oscillators driven by\n time-varying and random forces

2021/01/09 by Raffaele D’Ambrosio, D'Ambrosio, Raffaele, Carmela Scalone +1
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · Physics and Astronomy · #Advanced Mathematical Modeling in Engineering #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Numerical Analysis (math.NA) #Numerical methods for differential equations #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2101.03372

openalex publication_date 2021/01/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this work, we provide a specifc trigonometric stochastic numerical method\nfor linear oscillators with high constant frequencies, driven by a nonlinear\ntime-varying force and a random force. We present some theoretical\nconsiderations and numerical experiments on popular related physical models.\n

Citations

• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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