EXPONENTIALLY FITTED TRAPEZOIDAL SCHEME FOR A STOCHASTIC OSCILLATOR

• 来源期刊: 计算数学（英文版）
• 关键词: Exponentially fitted trapezoidal scheme,Symplectic Mean-square order,Second moment
• 年，卷（期）: 2017,（6）
• 页码范围: 801-813
• 页数: 13页
• 语种: 英文
• DOI: 10.4208/jcm.1612-m2016-0677

摘要

This paper applies exponentially fitted trapezoidal scheme to a stochastic oscillator.The scheme is convergent with mean-square order 1 and symplectic.Its numerical solution oscillates and the second moment increases linearly with time.The numerical example verifies the analysis of the scheme.