Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator

Authors

  • Xiuling Yin School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China
  • Chengjian Zhang School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China
  • Yanqin Liu School of Mathematical Sciences, Dezhou University, Dezhou 253023, China

DOI:

https://doi.org/10.4208/jcm.1612-m2016-0677

Keywords:

Exponentially fitted trapezoidal scheme, Symplectic;mean-square order, Second moment.

Abstract

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.

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Published

2021-07-01

Issue

Vol. 35 No. 6 (2017)

Section

Articles