Author
Akat, Muzaffer, Kosker, R., Sirma, A.
Publication Date
2020
Publication Place
-
Karaganda University
Subject
Difference schemes, Stochastic oscillators, Langevin equation, Variation of constants
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
2518-7929
Record ID
00c8d59a-d307-4807-b8fd-e0c27421dcf0
Library Location
International Finance
Date
2020
Sample Text
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.
DOI
10.31489/2020M3/62-74
Cilt
99
