Geodesic
Numerical analysis of stochastic oscillators on supercomputers
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 15 (2012) no. 1, pp. 31-43

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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. 
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     title = {Numerical analysis of stochastic oscillators on supercomputers},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
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S. S. Artemiev; A. A. Ivanov; V. D. Korneev. Numerical analysis of stochastic oscillators on supercomputers. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 15 (2012) no. 1, pp. 31-43. http://geodesic.mathdoc.fr/item/SJVM_2012_15_1_a2/