Conservative methods for stochastic differential equations with a conserved quantity

MaRDI QIDQ3186772zbMATH OpenFDO

Authors

Publication date 12 August 2016

Full work available at URL https://arxiv.org/abs/1411.1819, http://www.math.ualberta.ca/ijnam/Volume-13-2016/No-3-16/2016-03-06.pdf

zbMATH Keywords

conservative methodsinvariantsmean-square convergence orderquadrature formulasplitting techniquestochastic differential equationsstochastic geometric numerical integrationweak convergence order

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30)

Abstract: This paper proposes a novel conservative method for numerical computation of general stochastic differential equations in the Stratonovich sense with a conserved quantity. We show that the mean-square order of the method is $1$ if noises are commutative and that the weak order is also $1$. Since the proposed method may need the computation of a deterministic integral, we analyse the effect of the use of quadrature formulas on the convergence orders. Furthermore, based on the splitting technique of stochastic vector fields, we construct conservative composition methods with similar orders as the above method. Finally, numerical experiments are presented to support our theoretical results.

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Cited in

(14)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Lawson schemes for highly oscillatory stochastic differential equations and conservation of invariants
• High order numerical integrators for single integrand Stratonovich SDEs
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
• Conservative stochastic differential equations: mathematical and numerical analysis
• Discrete gradient approach to stochastic differential equations with a conserved quantity
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation
• Conserved-quantity-preserving method for stochastic differential equations by projection technique
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• How do Monte Carlo estimates affect stochastic geometric numerical integration?
• Projection methods for stochastic differential equations with conserved quantities
• Conservative diffusions

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