Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems

DOI10.1016/J.CAM.2016.08.011zbMath1416.65518OpenAlexW2516978584MaRDI QIDQ730570

Lijin Wang, Liying Sun

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.08.011

zbMATH Keywords

Padé approximationsymplectic methodslinear stochastic Hamiltonian systemsroot-mean-square convergence order

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Related Items (6)

Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ Data-driven structure-preserving model reduction for stochastic Hamiltonian systems ⋮ Structure-Preserving Numerical Methods for Stochastic Poisson Systems ⋮ Weak backward error analysis for stochastic Hamiltonian systems

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