Abstract
The problem of numerical analysis of stochastic differential equations (SDEs) with oscillating solutions is investigated. The expectation and variance of SDE numerical solutions are shown as functions of the mesh size of integrating the generalized Euler method. Results of some numerical experiments on the simulation of linear and nonlinear stochastic oscillators on the supercomputer of the Siberian Supercomputer Center are presented.
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Original Russian Text © S.S. Artemiev, A.A. Ivanov, V.D. Korneev, 2012, published in Sibirskii Zhurnal Vychislitel’noi Matematiki, 2012, Vol. 15, No. 1, pp. 31–43.
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Artemiev, S.S., Ivanov, A.A. & Korneev, V.D. Numerical analysis of stochastic oscillators on supercomputers. Numer. Analys. Appl. 5, 25–35 (2012). https://doi.org/10.1134/S199542391201003X
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DOI: https://doi.org/10.1134/S199542391201003X