Steady-state density preserving method for stochastic mechanical systems
School of Applied Mathematics, Fundação Getulio Vargas, Rio de Janeiro, Brazil
Accepted: 18 July 2021
Published online: 3 August 2021
We devise a numerical method for the long-term integration of a class of damped second order stochastic mechanical systems. The introduced numerical scheme has the advantage of being completely explicit for general nonlinear systems, while in contrast with other commonly used integrators, it has the ability to compute the evolution of the system with high stability and precision in very large time intervals. Notably, the method has the important property of preserving for all values of the step size, the steady-state probability density function of any linear system with stationary solution. Several numerical experiments are presented to show the practical performance of the introduced method.
© The Author(s), under exclusive licence to Società Italiana di Fisica and Springer-Verlag GmbH Germany, part of Springer Nature 2021