Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise (Q2415164): Difference between revisions

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Language	Label	Description	Also known as
English	Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise	scientific article

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instance of

scholarly article

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title

Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise (English)

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Advances in Difference Equations

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publication date

20 May 2019

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zbMATH Keywords

second-order stochastic differential equations

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stochastic Hamiltonian systems

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stochastic Runge-Kutta-Nyström methods

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symplectic integrators

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1186/s13662-019-2133-1

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cites work

Q4369402

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Stability of a budworm growth model with random perturbations

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Stability of a stochastic logistic model under regime switching

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations

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Approximate solutions for a class of doubly perturbed stochastic differential equations

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Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations

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The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching

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An improved Milstein method for stiff stochastic differential equations

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Chebyshev spectral collocation method for stochastic delay differential equations

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps

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Construction of positivity preserving numerical method for jump-diffusion option pricing models

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Q3825876

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Symplectic Integration of Hamiltonian Systems with Additive Noise

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Q4826106

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Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise

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Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

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Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

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Handbook of stochastic methods for physics, chemistry and the natural sciences.

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Q4315882

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Identifiers

zbMATH Open document ID

1459.65014

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DOI

10.1186/s13662-019-2133-1

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2415164

@@ Property / author @@
-Xiao-Hua Ding
@@ Property / author: Xiao-Hua Ding / rank @@
-Normal rank
@@ Property / author @@
+Xiao-Hua Ding
@@ Property / author: Xiao-Hua Ding / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1186/s13662-019-2133-1
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+W2947997102
@@ Property / OpenAlex ID: W2947997102 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of a budworm growth model with random perturbations
+Normal rank
@@ Property / cites work @@
+Stability of a stochastic logistic model under regime switching
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Exponential mean square stability of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Approximate solutions for a class of doubly perturbed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching
+Normal rank
@@ Property / cites work @@
+An improved Milstein method for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Chebyshev spectral collocation method for stochastic delay differential equations
+Normal rank
@@ Property / cites work @@
+A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Construction of positivity preserving numerical method for jump-diffusion option pricing models
+Normal rank
@@ Property / cites work @@
+Q3825876
@@ Property / cites work: Q3825876 / rank @@
+Normal rank
@@ Property / cites work @@
+Symplectic Integration of Hamiltonian Systems with Additive Noise
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
+Normal rank
@@ Property / cites work @@
+Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Handbook of stochastic methods for physics, chemistry and the natural sciences.
+Normal rank
@@ Property / cites work @@
+Q4315882
@@ Property / cites work: Q4315882 / rank @@
+Normal rank