Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
Publication:465120
DOI10.1016/j.apnum.2014.08.003zbMath1302.65027MaRDI QIDQ465120
Jialin Hong, Peng Wang, Dongsheng Xu
Publication date: 31 October 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2014.08.003
strong convergence; weak convergence; stochastic differential equations; Runge-Kutta methods; numerical experiment; quadratic invariants; symplecticity
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34F05: Ordinary differential equations and systems with randomness
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
65P10: Numerical methods for Hamiltonian systems including symplectic integrators