Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations (Q5028595): Difference between revisions

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scientific article; zbMATH DE number 7472000

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English	Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations	scientific article; zbMATH DE number 7472000

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instance of

scholarly article

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title

Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations (English)

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zbMATH Open document ID

1499.60196

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DOI

10.1080/00207160.2017.1408803

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International Journal of Computer Mathematics

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publication date

10 February 2022

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Mathematics Subject Classification ID

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stochastic differential equations

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conserved quantity

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mean-square convergence

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discrete gradient methods

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linear projection methods

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2017.1408803

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OpenAlex ID

W2768217516

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cites work

Numerical methods for strong solutions of stochastic differential equations: an overview

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Runge-Kutta projection methods with low dispersion and dissipation errors

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Energy-preserving integrators for stochastic Poisson systems

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

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Solving Ordinary Differential Equations I

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Geometric Numerical Integration

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Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity

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Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods

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Double-implicit and split two-step Milstein schemes for stochastic differential equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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

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Q4369402

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Geometric integration using discrete gradients

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Q4826106

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Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems

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Discrete gradient methods for preserving a first integral of an ordinary differential equation

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Projection methods and discrete gradient methods for preserving first integrals of ODEs

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The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

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Discrete gradient methods for solving ODEs numerically while preserving a first integral

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A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

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The improved split-step backward Euler method for stochastic differential delay equations

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

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Strong convergence of split-step theta methods for non-autonomous stochastic differential equations

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Mean square convergence of one-step methods for neutral stochastic differential delay equations

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Numerical methods for stochastic partial differential equations with white noise

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Projection methods for stochastic differential equations with conserved quantities

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Sitelinks

Mathematics(1 entry)

mardi Publication:5028595

@@ Property / cites work @@
+Numerical methods for strong solutions of stochastic differential equations: an overview
+Normal rank
@@ Property / cites work @@
+Runge-Kutta projection methods with low dispersion and dissipation errors
+Normal rank
@@ Property / cites work @@
+Energy-preserving integrators for stochastic Poisson systems
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations I
@@ Property / cites work: Solving Ordinary Differential Equations I / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric Numerical Integration
@@ Property / cites work: Geometric Numerical Integration / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity
+Normal rank
@@ Property / cites work @@
+Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
+Normal rank
@@ Property / cites work @@
+Double-implicit and split two-step Milstein schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric integration using discrete gradients
@@ Property / cites work: Geometric integration using discrete gradients / rank @@
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
+Normal rank
@@ Property / cites work @@
+Discrete gradient methods for preserving a first integral of an ordinary differential equation
+Normal rank
@@ Property / cites work @@
+Projection methods and discrete gradient methods for preserving first integrals of ODEs
+Normal rank
@@ Property / cites work @@
+The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Discrete gradient methods for solving ODEs numerically while preserving a first integral
+Normal rank
@@ Property / cites work @@
+A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
+Normal rank
@@ Property / cites work @@
+The improved split-step backward Euler method for stochastic differential delay 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 @@
+Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean square convergence of one-step methods for neutral stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Numerical methods for stochastic partial differential equations with white noise
+Normal rank
@@ Property / cites work @@
+Projection methods for stochastic differential equations with conserved quantities
+Normal rank