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Convergence analysi...
Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
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- Cohen, David (author)
- Department of mathematics, University of Basel,Universität Basel,University of Basel
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- Sigg, Magdalena (author)
- Department of mathematics, University of Basel,Universität Basel,University of Basel
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(creator_code:org_t)
- 2011-11-13
- 2012
- English.
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In: Numerische Mathematik. - : Springer Science and Business Media LLC. - 0029-599X .- 0945-3245. ; 121:1, s. 1-29
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Abstract
Subject headings
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- We study a class of numerical methods for a system of second-order SDE driven by a linear fast force generating high frequency oscillatory solutions. The proposed schemes permit the use of large step sizes, have uniform global error bounds in the position (i.e. independent of the large frequencies present in the SDE) and offer various additional properties. This new family of numerical integrators for SDE can be viewed as a stochastic generalisation of the trigonometric integrators for highly oscillatory deterministic problems.
Subject headings
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Publication and Content Type
- ref (subject category)
- art (subject category)
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