In this work, we propose a trigonometric stochastic numerical method for linear oscillators with high constant frequencies, driven by a nonlinear time-varying force and a random force. The scheme is obtained by applying the variation-of-constants formula and Filon quadrature, that is notoriously more effective for oscillating integrands. The development of the scheme and its analysis is equipped by numerical experiments on popular related physical models, confirming the effectiveness of the approach.
Filon quadrature for stochastic oscillators driven by time-varying forces
D'Ambrosio R.;Scalone C.
2021-01-01
Abstract
In this work, we propose a trigonometric stochastic numerical method for linear oscillators with high constant frequencies, driven by a nonlinear time-varying force and a random force. The scheme is obtained by applying the variation-of-constants formula and Filon quadrature, that is notoriously more effective for oscillating integrands. The development of the scheme and its analysis is equipped by numerical experiments on popular related physical models, confirming the effectiveness of the approach.File in questo prodotto:
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