How do Monte Carlo estimates affect stochastic geometric numerical integration? (Q6159558): Difference between revisions

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scientific article; zbMATH DE number 7699187

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English	How do Monte Carlo estimates affect stochastic geometric numerical integration?	scientific article; zbMATH DE number 7699187

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scholarly article

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How do Monte Carlo estimates affect stochastic geometric numerical integration? (English)

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Raffaele D'Ambrosio

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Stefano Di Giovacchino

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International Journal of Computer Mathematics

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publication date

20 June 2023

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zbMATH Keywords

stochastic differential equations

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Monte Carlo methods

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stochastic Hamiltonian problems

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geometric numerical integration

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additive noise

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2022.2107393

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Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs

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Full Discretization of Semilinear Stochastic Wave Equations Driven by Multiplicative Noise

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Exponential Integrators for Stochastic Schrödinger Equations Driven by Itô Noise

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Analysis of energy and quadratic invariant preserving (EQUIP) methods

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Exponential mean-square stability properties of stochastic linear multistep methods

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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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The minimal stage, energy preserving Runge–Kutta method for polynomial Hamiltonian systems is the averaged vector field method

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Conservative methods for stochastic differential equations with a conserved quantity

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Drift-preserving numerical integrators for stochastic Hamiltonian systems

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A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations

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Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators

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On the numerical discretisation of stochastic oscillators

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A Trigonometric Method for the Linear Stochastic Wave Equation

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Exponential integrators for stochastic Maxwell's equations driven by Itô noise

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Energy-preserving integrators for stochastic Poisson systems

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Linear energy-preserving integrators for Poisson systems

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Drift-preserving numerical integrators for stochastic Poisson systems

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On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations

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Numerical preservation of long-term dynamics by stochastic two-step methods

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Mean-square contractivity of stochastic \(\vartheta\)-methods

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Nonlinear stability issues for stochastic Runge-Kutta methods

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Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations

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On the numerical structure preservation of nonlinear damped stochastic oscillators

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Two-step Runge-Kutta methods for stochastic differential equations

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Locally linearized methods for the simulation of stochastic oscillators driven by random forces

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Multilevel Monte Carlo Path Simulation

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Time integration and discrete Hamiltonian systems

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Geometric Numerical Integration

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

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Numerical methods for nonlinear stochastic differential equations with jumps

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Some issues in discrete approximate solution for stochastic differential equations

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An energy-preserving exponentially-fitted continuous stage Runge-Kutta method for Hamiltonian systems

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A Characterization of Energy-Preserving Methods and the Construction of Parallel Integrators for Hamiltonian Systems

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Runge-Kutta methods for Itô stochastic differential equations with scalar noise

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Analysis and discretization of semi-linear stochastic wave equations with cubic nonlinearity and additive space-time noise

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A review on numerical schemes for solving a linear stochastic oscillator

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Numerical simulation of a linear stochastic oscillator with additive noise

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Efficient energy-preserving integrators for oscillatory Hamiltonian systems

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Identifiers

zbMATH Open document ID

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10.1080/00207160.2022.2107393

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6159558

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