Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations

DOI10.1080/00207160.2017.1408803zbMath1499.60196OpenAlexW2768217516MaRDI QIDQ5028595

Xiuyan Li, Qiang Ma, Chi-Ping Zhang, Xiao-Hua Ding

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2017.1408803

zbMATH Keywords

stochastic differential equationsmean-square convergenceconserved quantitydiscrete gradient methodslinear projection methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Dynamical systems in numerical analysis (37N30)

Related Items (7)

Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems ⋮ Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method ⋮ Continuous stage stochastic Runge-Kutta methods ⋮ Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods ⋮ Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations ⋮ The Magnus expansion for stochastic differential equations ⋮ STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Discrete gradient methods for preserving a first integral of an ordinary differential equation
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Projection methods and discrete gradient methods for preserving first integrals of ODEs
• Energy-preserving integrators for stochastic Poisson systems
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Projection methods for stochastic differential equations with conserved quantities
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Runge-Kutta projection methods with low dispersion and dissipation errors
• Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
• Numerical methods for stochastic partial differential equations with white noise
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• Double-implicit and split two-step Milstein schemes for stochastic differential equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• The improved split-step backward Euler method for stochastic differential delay equations
• Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity
• Solving Ordinary Differential Equations I
• Geometric integration using discrete gradients
• Discrete gradient methods for solving ODEs numerically while preserving a first integral
• A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
• Geometric Numerical Integration

This page was built for publication: Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations