This paper analyzes conservation issues in the discretization of certain stochastic dynamical systems by means of stochastic (Formula presented)-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 $ \vartheta $-methods
D'Ambrosio R.;
2022-01-01
Abstract
This paper analyzes conservation issues in the discretization of certain stochastic dynamical systems by means of stochastic (Formula presented)-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.File in questo prodotto:
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