Long-term analysis of stochastic θ-methods for damped stochastic oscillators

Author:

Citro Vincenzo,D'Ambrosio Raffaele

Funder

GNCS-INDAM

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference28 articles.

1. E. Buckwar, R. D'Ambrosio, Exponential mean-square stability properties of stochastic multistep methods, submitted for publication.

2. A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods;Buckwar;Math. Comput. Simul.,2011

3. Accurate stationary densities with partitioned numerical methods for stochastic differential equations;Burrage;SIAM J. Numer. Anal.,2009

4. Numerical methods for second-order stochastic differential equations;Burrage;SIAM J. Sci. Comput.,2007

5. Numerical solution of time fractional diffusion systems;Burrage;Appl. Numer. Math.,2017

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