Geodesic
New frequency characteristics of the numerical solution to stochastic differential equations
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 18 (2015) no. 1, pp. 15-26

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The problems of the numerical analysis of stochastic differential equations with oscillatory solutions trajectories are studied. For the analysis of the numerical solution it is proposed to use the frequency response of generalizing the integral curve and the phase portrait. The results of numerical experiments carried out on a cluster of NCC-30T Siberian Supercomputer Center at the ICM SB RAS using a set of programs PARMONC are presented. 
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     title = {New frequency characteristics of the numerical solution to stochastic differential equations},
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S. S. Artemiev; A. A. Ivanov; D. D. Smirnov. New frequency characteristics of the numerical solution to stochastic differential equations. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 18 (2015) no. 1, pp. 15-26. http://geodesic.mathdoc.fr/item/SJVM_2015_18_1_a1/