We analyze long-term properties of stochastic θ-methods for damped linear stochastic oscillators. The presented a-priori analysis of the error in the correlation matrix allows to infer the long-time behaviour of stochastic θ-methods and their capability to reproduce the same long-term features of the continuous dynamics. The theoretical analysis is also supported by a selection of numerical experiments.
Long-term analysis of stochastic θ-methods for damped stochastic oscillators
Citro V.;
2019
Abstract
We analyze long-term properties of stochastic θ-methods for damped linear stochastic oscillators. The presented a-priori analysis of the error in the correlation matrix allows to infer the long-time behaviour of stochastic θ-methods and their capability to reproduce the same long-term features of the continuous dynamics. The theoretical analysis is also supported by a selection of numerical experiments.File in questo prodotto:
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