Picture of virus under microscope

Research under the microscope...

The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs.

Strathprints serves world leading Open Access research by the University of Strathclyde, including research by the Strathclyde Institute of Pharmacy and Biomedical Sciences (SIPBS), where research centres such as the Industrial Biotechnology Innovation Centre (IBioIC), the Cancer Research UK Formulation Unit, SeaBioTech and the Centre for Biophotonics are based.

Explore SIPBS research

Numerical simulation of a linear stochastic oscillator with additive noise

Strømmen Melbø, A.H. and Higham, D.J. (2004) Numerical simulation of a linear stochastic oscillator with additive noise. Applied Numerical Mathematics, 51 (1). pp. 89-99. ISSN 0168-9274

[img]
Preview
PDF (strathprints000164.pdf)
strathprints000164.pdf

Download (157kB) | Preview

Abstract

The ability of numerical methods to reproduce long-time features of a linear stochastic oscillator is examined. It is shown that certain, widely-used, methods fail to capture the correct second moment growth rate, whereas a customized extension of the partitioned Euler method behaves well in this respect. It is also shown that the partitioned Euler method inherits an infinite-oscillation property. A weaker oscillation result is proved for a wide class of numerical methods.