High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise (Q2008448): Difference between revisions

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English	High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise	scientific article

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scholarly article

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High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise (English)

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Applied Mathematics and Computation

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publication date

25 November 2019

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zbMATH Keywords

stochastic Hamiltonian system

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stochastic partitioned Runge-Kutta method

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symplectic integrator

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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.2018.10.041

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Singular stochastic differential equations.

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations

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

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Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise

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Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations

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Symplectic Geometric Algorithms for Hamiltonian Systems

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Symplectic Integration of Hamiltonian Systems with Additive Noise

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Numerical Methods for Stochastic Systems Preserving Symplectic Structure

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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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Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise

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Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

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

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

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

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Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems

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Coefficients for the study of Runge-Kutta integration processes

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

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Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

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

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B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

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General order conditions for stochastic partitioned Runge-Kutta methods

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A review on numerical schemes for solving a linear stochastic oscillator

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Partitioned Runge-Kutta Methods for Separable Hamiltonian Problems

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Identifiers

zbMATH Open document ID

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10.1016/j.amc.2018.10.041

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Mathematics Subject Classification ID

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zbMATH DE Number

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Mathematics(1 entry)

mardi Publication:2008448

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