The Mathematical Institute, University of Oxford, Eprints Archive

Stiff oscillatory systems, delta jumps and white noise

Cano, B. and Stuart, A. M. and Suli, Endre and Warren, J. O. (1998) Stiff oscillatory systems, delta jumps and white noise. Technical Report. Unspecified. (Submitted)



Two model problems for stiff oscillatory systems are introduced. Both comprise a linear superposition of N >> 1 harmonic oscillators used as a forcing term for a scalar ODE. In the first case the initial conditions are chosen so that the forcing term approximates a delta function as N tends to infinity, and in the second case so that it approximates white noise. In both cases the fastest natural frequency of the oscillators is O(N). The model problems are integrated numerically in the stiff regime where the time step is of size O(1/N). The convergence of the algorithms is studied in this case in the limit of N tending to infinity and the time step tending to zero. For the white noise problem both strong and weak convergence are considered.

Item Type:Technical Report (Technical Report)
Subjects:O - Z > Ordinary differential equations
O - Z > Statistical mechanics, structure of matter
O - Z > Probability theory and stochastic processes
H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1302
Deposited By: Lotti Ekert
Deposited On:04 Jun 2011 08:14
Last Modified:29 May 2015 18:59

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