Symplectic Numerical Methods for a Linear Stochastic Oscillator with Two Additive Noises

@inproceedings{Wang2011SymplecticNM,
  title={Symplectic Numerical Methods for a Linear Stochastic Oscillator with Two Additive Noises},
  author={Lijin Wang and Jialin Hong and Rudolf Scherer},
  year={2011}
}
Two symplectic numerical integration methods, of mean-square order 1 and 2 respectively, for a linear stochastic oscillator with two additive noises are constructed via the stochastic generating function approach and investigated. They are shown by numerical tests to be efficient and superior to non-symplectic numerical methods.