On the numerical schemes for Langevin-type equations
In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementatio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Academician Ye.A. Buketov Karaganda University
2020-09-01
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| Series: | Қарағанды университетінің хабаршысы. Математика сериясы |
| Subjects: | |
| Online Access: | http://mathematics-vestnik.ksu.kz/index.php/mathematics-vestnik/article/view/385 |
| Summary: | In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.
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| ISSN: | 2518-7929 2663-5011 |