On the numerical schemes for Langevin-type equations

Autor:	M. Akat, R. Kosker, A. Sirma
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	difference schemes stochastic oscillators Langevin equation variation of constants Analysis QA299.6-433 Analytic mechanics QA801-939 Probabilities. Mathematical statistics QA273-280
Zdroj:	Қарағанды университетінің хабаршысы. Математика сериясы, Vol 99, Iss 3 (2020)
Druh dokumentu:	article
ISSN:	2518-7929 2663-5011
DOI:	10.31489/2020m3/62-74
Popis:	In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/50c46f66d6904bdaa5fafb965b679663 Zobrazit plný text záznamu View record in DOAJ