S. S. Artemiev, A. A. Ivanov, V. D. Korneev, “Numerical analysis of stochastic oscillators on supercomputers”, Sib. Zh. Vychisl. Mat., 15:1 (2012), 31–43; Num. Anal. Appl., 5:1 (2012), 25

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Sibirskii Zhurnal Vychislitel'noi Matematiki

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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2012, Volume 15, Number 1, Pages 31–43 (Mi sjvm456)

This article is cited in 7 scientific papers (total in 7 papers)

Numerical analysis of stochastic oscillators on supercomputers

S. S. Artemiev^a, A. A. Ivanov^b, V. D. Korneev^ba

^a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences, Novosibirsk
^b Novosibirsk State University, Novosibirsk

Full-text PDF (716 kB) Citations (7)

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Abstract: In this paper we investigate the numerical analysis problem of stochastic differential equations (SDEs) with oscillating solutions. The dependence of mathematical expectation and dispersion of the SDE numerical solution on the mesh size of integrating the generalized Euler method is determined. The results of numerical experiments with simulation of linear and nonlinear stochastic oscillators on the supercomputer of the Siberian Supercomputer Center are presented.

Key words: stochastic differential equations, statistical algorithms, parallelization, supercomputer, cluster, van der Pol equation, phase trajectory, stochastic oscillators.

Received: 28.06.2010
Revised: 28.02.2011

English version:
Numerical Analysis and Applications, 2012, Volume 5, Issue 1, Pages 25–35
DOI: https://doi.org/10.1134/S199542391201003X

Bibliographic databases:

Document Type: Article

UDC: 519.676

Language: Russian

Citation: S. S. Artemiev, A. A. Ivanov, V. D. Korneev, “Numerical analysis of stochastic oscillators on supercomputers”, Sib. Zh. Vychisl. Mat., 15:1 (2012), 31–43; Num. Anal. Appl., 5:1 (2012), 25–35

Citation in format AMSBIB

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Linking options:

https://www.mathnet.ru/eng/sjvm456

https://www.mathnet.ru/eng/sjvm/v15/i1/p31

This publication is cited in the following 7 articles:

S. S. Artemiev, M. A. Yakunin, “Parametric analysis of the oscillatory solutions to SDEs with Wiener and Poisson components by a Monte Carlo method”, J. Appl. Industr. Math., 11:2 (2017), 157–167
A. A. Ivanov, “Analysis of the stochastic motion of a charged particle in a magnetic field by the Monte Carlo method on supercomputers”, J. Appl. Industr. Math., 11:3 (2017), 362–368
S. S. Artemiev, M. A. Yakunin, “Analysis of the accuracy of estimates of the first moments of solving SDE with Wiener and Poisson components by Monte Carlo method”, Num. Anal. Appl., 9:1 (2016), 24–33
S. S. Artemiev, A. A. Ivanov, “Analysis of the influence of random noises for self-oscillating chemical reactions by a Monte-Carlo method on supercomputers”, J. Appl. Industr. Math., 10:4 (2016), 468–473
S. S. Artemiev, A. A. Ivanov, D. D. Smirnov, “New frequency characteristics of the numerical solution to stochastic differential equations”, Num. Anal. Appl., 8:1 (2015), 13–22
S. S. Artemiev, A. A. Ivanov, “Analysis of the effect of random noise on the strange attractors of Monte Carlo on a supercomputer”, Num. Anal. Appl., 8:2 (2015), 101–112
S. S. Artemiev, V. D. Korneev, M. A. Yakunin, “Numerical solution to stochastic differential equations with a random structure on supercomputers”, Num. Anal. Appl., 6:4 (2013), 261–267

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Sibirskii Zhurnal Vychislitel'noi Matematiki

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