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Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme

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  • Xie, Wen-Xian
  • Cai, Li
  • Xu, Wei

Abstract

The present paper is devoted to the numerical solution of the Fokker–Planck (FP) equation associated to the Duffing oscillator driven by colored noise. We propose an improved discretization of the standard FP operator-splitting method which renders the scheme unconditionally stable. This scheme is successfully applied to explore the influence of the colored noise on the probability density.

Suggested Citation

  • Xie, Wen-Xian & Cai, Li & Xu, Wei, 2007. "Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 183-190.
    • Handle: RePEc:eee:phsmap:v:373:y:2007:i:c:p:183-190
    DOI: 10.1016/j.physa.2006.05.021
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    Cited by:

    1. Yang, Anji & Wang, Hao & Yuan, Sanling, 2023. "Tipping time in a stochastic Leslie predator–prey model," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

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