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Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
Department of mathematics, University of Basel.
Department of mathematics, University of Basel.
2012 (English)In: Numerische Mathematik, ISSN 0029-599X, E-ISSN 0945-3245, Vol. 121, no 1, 1-29 p.Article in journal (Refereed) Published
Abstract [en]

We study a class of numerical methods for a system of second-order SDE driven by a linear fast force generating high frequency oscillatory solutions. The proposed schemes permit the use of large step sizes, have uniform global error bounds in the position (i.e. independent of the large frequencies present in the SDE) and offer various additional properties. This new family of numerical integrators for SDE can be viewed as a stochastic generalisation of the trigonometric integrators for highly oscillatory deterministic problems.

Place, publisher, year, edition, pages
2012. Vol. 121, no 1, 1-29 p.
National Category
Computational Mathematics
URN: urn:nbn:se:umu:diva-59153DOI: 10.1007/s00211-011-0426-8ISI: 000302749600001OAI: diva2:551368
Available from: 2012-09-11 Created: 2012-09-10 Last updated: 2012-10-22Bibliographically approved

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Cohen, David
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