The paper aims to explore the long-term behaviour of stochastic two-step methods applied to a class of second order stochastic differential equations. In particular, the treatment focuses on preserving long-term statistics related to the dynamics of a linear stochastic damped oscillator whose velocity, in the stationary regime, is distributed as a Gaussian variable and uncorrelated with the position. By computing the solution of a very simple matrix equality, we a-priori determine the long-term statistics characterizing the numerical dynamics and analyze the behaviour of a selection of methods.
|Titolo:||Numerical preservation of long-term dynamics by stochastic two-step methods|
|Data di pubblicazione:||2018|
|Appare nelle tipologie:||1.1 Articolo in rivista|