High order numerical integrators for single integrand Stratonovich SDEs (Q2202432)

scientific article

Language	Label	Description	Also known as
English	High order numerical integrators for single integrand Stratonovich SDEs	scientific article

Statements

instance of

scholarly article

0 references

title

High order numerical integrators for single integrand Stratonovich SDEs (English)

0 references

zbMATH Open document ID

1452.65120

0 references

DOI

10.1016/j.apnum.2020.08.002

0 references

author

Yanyan Li

0 references

published in

Applied Numerical Mathematics

0 references

publication date

18 September 2020

0 references

full work available at URL

https://arxiv.org/abs/2004.12887

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Stratonovich stochastic differential equation

0 references

geometric numerical integration

0 references

B-series methods

0 references

strong error analysis

0 references

weak error analysis

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

0 references

Performance of the Taylor series method for ODEs/DAEs

0 references

Mécanique aléatoire

0 references

High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

0 references

Order Conditions of Stochastic Runge--Kutta Methods by <i>B</i>-Series

0 references

Numerical Methods for Ordinary Differential Equations

0 references

Energy-preserving Runge-Kutta methods

0 references

Conservative methods for stochastic differential equations with a conserved quantity

0 references

Energy-preserving integrators for stochastic Poisson systems

0 references

Linear energy-preserving integrators for Poisson systems

0 references

B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values

0 references

B-series analysis of iterated Taylor methods

0 references

Composition of stochastic B-series with applications to implicit Taylor methods

0 references

Cheap arbitrary high order methods for single integrand SDEs

0 references

Geometric Numerical Integration

0 references

Q3550030

0 references

Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity

0 references

Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods

0 references

A survey of numerical methods for stochastic differential equations

0 references

Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family

0 references

Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

0 references

High-Order Energy-Preserving Methods for Stochastic Poisson Systems

0 references

Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems

0 references

Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

0 references

Numerical Methods for Stochastic Systems Preserving Symplectic Structure

0 references

Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems

0 references

Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods

0 references

Smooth Manifolds and Observables

0 references

A new class of energy-preserving numerical integration methods

0 references

Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

0 references

Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

0 references

Stochastic Taylor Expansions for Functionals of Diffusion Processes

0 references

Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

0 references

Stochastic models for fatigue damage of materials

0 references

Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems

0 references

High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2202432