Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
Publication:2359994
DOI10.1016/J.CAM.2017.04.050zbMath1367.65015arXiv1601.04161OpenAlexW2521918606MaRDI QIDQ2359994
Jialin Hong, Songhe Song, Weien Zhou, Jing-Jing Zhang
Publication date: 23 June 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.04161
stochastic differential equationsHamiltonian systemsymplectic integratorsmean-square convergencestochastic Runge-Kutta methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15)
Related Items (13)
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