Locally Linearized methods for the simulation of stochastic oscillators driven by random forces

Abstract

In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties of simple and coupled harmonic oscillators and paths of nonlinear stochastic oscillators in general. Computer experiments illustrate the theoretical findings and advantages of various Locally Linearized schemes in comparison with other conventional integrators.