Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise (Q2445217): Difference between revisions

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

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scholarly article

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title

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

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Applied Mathematics and Computation

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publication date

14 April 2014

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zbMATH Keywords

stochastic Hamiltonian systems

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stochastic differential equations

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symplectic integrators

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stochastic generating functions

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stochastic Runge-Kutta methods

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2012.06.053

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cites work

Q3217380

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Symplectic Integration of Hamiltonian Systems with Additive Noise

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Efficient symplectic Runge-Kutta methods

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KAM theorem of symplectic algorithms for Hamiltonian systems

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Q4319807

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MS-stability of the Euler--Maruyama method for stochastic differential delay equations

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Convergence and stability of the balanced methods for stochastic differential equations with jumps

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Compensated stochastic theta methods for stochastic differential equations with jumps

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

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Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay

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Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching

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Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series

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Two-stage stochastic Runge-Kutta methods for stochastic differential equations

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Three-stage stochastic Runge-Kutta methods for stochastic differential equations

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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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Low-storage Runge-Kutta methods for stochastic differential equations

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Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations

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Numerical Methods for Stochastic Systems Preserving Symplectic Structure

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Numerical simulation of a linear stochastic oscillator with additive noise

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Identifiers

zbMATH Open document ID

1302.65031

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Mathematics Subject Classification ID

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10.1016/J.AMC.2012.06.053

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Sitelinks

Mathematics(1 entry)

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+KAM theorem of symplectic algorithms for Hamiltonian systems
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+Higher-order implicit strong numerical schemes for stochastic differential equations
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@@ Property / cites work @@
+MS-stability of the Euler--Maruyama method for stochastic differential delay equations
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@@ Property / cites work @@
+Convergence and stability of the balanced methods for stochastic differential equations with jumps
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@@ Property / cites work @@
+Compensated stochastic theta methods for stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
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+Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
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@@ Property / cites work @@
+Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
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@@ Property / cites work @@
+Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series
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@@ Property / cites work @@
+Two-stage stochastic Runge-Kutta methods for stochastic differential equations
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@@ Property / cites work @@
+Three-stage stochastic Runge-Kutta methods for stochastic differential equations
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@@ Property / cites work @@
+Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
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@@ Property / cites work @@
+Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
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+Low-storage Runge-Kutta methods for stochastic differential equations
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+Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
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+Numerical Methods for Stochastic Systems Preserving Symplectic Structure
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+Numerical simulation of a linear stochastic oscillator with additive noise
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