Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems

DOI10.1007/BF03167340MaRDI QIDQ2258378zbMATH OpenOpenAlexFDO

Authors Tetsuya Misawa

Publication date 3 March 2015

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03167340

zbMATH Keywords

energy conservative schemestochastic difference schemestochastic Hamilton dynamical systems

Mathematics Subject Classification ID

Random dynamical systems (37H99) Dynamical aspects of finite-dimensional Hamiltonian and Lagrangian systems (37J99) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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Cites work

• Conservative numerical methods for x=f(x)
• Conserved quantities and symmetry for stochastic dynamical systems
• Explicit energy conservative difference schemes for nonlinear dynamical systems with at most quartic potentials
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• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• Simulation of stochastic differential equations
• Stochastic Model of an Integrable Nonlinear System

Cited in

(14)

• An energy-conserving method for stochastic Maxwell equations with multiplicative noise
• Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems
• High order numerical integrators for single integrand Stratonovich SDEs
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• A class of orthogonal integrators for stochastic differential equations
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
• Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations
• Projection methods for stochastic differential equations with conserved quantities

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