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Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations

Cohen, David ; Sigg, Magdalena

In: Numerische Mathematik, 2012, vol. 121, no. 1, p. 1-29

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    Titre
    • Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
    Auteur
    • Cohen, David. Mathematisches Institut, Universität Basel, 4051, Basel, Switzerland
    • Sigg, Magdalena. Mathematisches Institut, Universität Basel, 4051, Basel, Switzerland
    Type de document
    • Postprint
    Classification
    • Informatique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:317260
    Summary
    We study a class of numerical methods for a system of second-order SDE driven by a linear fast force generating high frequency oscillatory solutions. The proposed schemes permit the use of large step sizes, have uniform global error bounds in the position (i.e. independent of the large frequencies present in the SDE) and offer various additional properties. This new family of numerical integrators for SDE can be viewed as a stochastic generalisation of the trigonometric integrators for highly oscillatory deterministic problems