Numerical discretization of stochastic oscillators with generalized numerical integrators

Name: Numerical discretization of stochastic oscillators with generalized numerical integrators
Author: Sirma, A., Kosker, R., Akat, Muzaffer

İsim	Numerical discretization of stochastic oscillators with generalized numerical integrators
Yazar	Sirma, A., Kosker, R., Akat, Muzaffer
Basım Tarihi:	2021
Basım Yeri	- Vinča Institute of Nuclear Sciences
Konu	Difference schemes, Numerical schemes, Stochastic oscillators, Stochastic trigonemetric integrators
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0354-9836
Kayıt Numarası	6958dd8c-b936-445f-8f0b-4f379c0a6d7d
Lokasyon	International Finance
Tarih	2021
Örnek Metin	In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and the velocity components, we show that the scheme has an order of 3/2 in one step convergence and a first order in overall convergence. Theoretical statements are supported by numerical experiments.
DOI	10.2298/TSCI200630008S
Cilt	25

Kaynağa git Özyeğin Üniversitesi

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Özyeğin Üniversitesi

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Numerical discretization of stochastic oscillators with generalized numerical integrators

Yazar Sirma, A., Kosker, R., Akat, Muzaffer

Basım Tarihi 2021

Basım Yeri - Vinča Institute of Nuclear Sciences

Konu Difference schemes, Numerical schemes, Stochastic oscillators, Stochastic trigonemetric integrators

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0354-9836

Kayıt Numarası 6958dd8c-b936-445f-8f0b-4f379c0a6d7d

Lokasyon International Finance

Tarih 2021

Örnek Metin In this study, we propose a numerical scheme for stochastic oscillators with additive noise obtained by the method of variation of constants formula using generalized numerical integrators. For both of the displacement and the velocity components, we show that the scheme has an order of 3/2 in one step convergence and a first order in overall convergence. Theoretical statements are supported by numerical experiments.

DOI 10.2298/TSCI200630008S

Cilt 25