This paper analyzes conservation issues in the discretization of certain stochastic dynamical systems by means of stochastic ϑ-mehods. The analysis also takes into account the effects of the estimation of the expected values by means of Monte Carlo simulations. The theoretical analysis is supported by a numerical evidence on a given stochastic oscillator, inspired by the Duffing oscillator.

Numerical preservation issues in stochastic dynamical systems by $ artheta $-methods

D'Ambrosio, Raffaele;Di Giovacchino, Stefano
2021

Abstract

This paper analyzes conservation issues in the discretization of certain stochastic dynamical systems by means of stochastic ϑ-mehods. The analysis also takes into account the effects of the estimation of the expected values by means of Monte Carlo simulations. The theoretical analysis is supported by a numerical evidence on a given stochastic oscillator, inspired by the Duffing oscillator.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/176600
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