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Volume 35, Issue 6
Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator

Xiuling Yin, Chengjian Zhang & Yanqin Liu

DOI: 10.4208/jcm.1612-m2016-0677

J. Comp. Math., 35 (2017), pp. 801-813.

Published online: 2017-12

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  • 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.

  • Keywords

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

  • AMS Subject Headings

60H10, 65P10.

  • Copyright

COPYRIGHT: © Global Science Press

  • Email address

yinxiuling@dzu.edu.cn (Xiuling Yin)

cjzhang@mail.hust.edu.cn (Chengjian Zhang)

liuyanqin_2001@163.com (Yanqin Liu)

  • BibTex
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  • TXT
@Article{JCM-35-801, author = {Yin , XiulingZhang , Chengjian and Liu , Yanqin}, title = {Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator}, journal = {Journal of Computational Mathematics}, year = {2017}, volume = {35}, number = {6}, pages = {801--813}, 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.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.1612-m2016-0677}, url = {http://global-sci.org/intro/article_detail/jcm/10495.html} }
TY - JOUR T1 - Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator AU - Yin , Xiuling AU - Zhang , Chengjian AU - Liu , Yanqin JO - Journal of Computational Mathematics VL - 6 SP - 801 EP - 813 PY - 2017 DA - 2017/12 SN - 35 DO - http://doi.org/10.4208/jcm.1612-m2016-0677 UR - https://global-sci.org/intro/article_detail/jcm/10495.html KW - Exponentially fitted trapezoidal scheme, Symplectic KW - mean-square order, Second moment. AB -

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.

Yin , XiulingZhang , Chengjian and Liu , Yanqin. (2017). Exponentially Fitted Trapezoidal Scheme for a Stochastic Oscillator. Journal of Computational Mathematics. 35 (6). 801-813. doi:10.4208/jcm.1612-m2016-0677
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