Quasi-symplectic methods for Langevin-type equations

DOI10.1093/imanum/23.4.593zbMath1055.65141OpenAlexW2168958073MaRDI QIDQ4460571

M. V. Tretyakov, Grigori N. Milstein

Publication date: 18 May 2004

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/23.4.593

zbMATH Keywords

numerical examplesstochastic Hamiltonian systemsLangewin equationsmean-square quasi-symplectic methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

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