Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
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Cites work
- Book review of: D. Higham and P. Kloeden, An introduction to the numerical simulation of stochastic differential equations
- Diffusion in Hamiltonian systems with a small stochastic perturbation
- Drift-preserving numerical integrators for stochastic Hamiltonian systems
- Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
- Energy-preserving Runge-Kutta methods
- Exponential mean-square stability properties of stochastic linear multistep methods
- Geometric Numerical Integration
- High weak order methods for stochastic differential equations based on modified equations
- High-order symplectic schemes for stochastic Hamiltonian systems
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 940566 (Why is no real title available?)
- scientific article; zbMATH DE number 1851000 (Why is no real title available?)
- Long-term stability of multi-value methods for ordinary differential equations
- Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- Modified equations for stochastic differential equations
- Nonlinear stability issues for stochastic Runge-Kutta methods
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- On the existence and the applications of modified equations for stochastic differential equations
- Perturbative analysis of stochastic Hamiltonian problems under time discretizations
- Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
- Stochastic discrete Hamiltonian variational integrators
- Stochastic Hamiltonian dynamical systems
- Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
- Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
- Symplectic Integration of Hamiltonian Systems with Additive Noise
- Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
- Weak backward error analysis for SDEs
- Weak backward error analysis for stochastic Hamiltonian systems
- Weak symplectic schemes for stochastic Hamiltonian equations
Cited in
(14)- Numerical preservation of long-term dynamics by stochastic two-step methods
- Symplectic integration of stochastic Hamiltonian systems
- Perturbative analysis of stochastic Hamiltonian problems under time discretizations
- On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
- scientific article; zbMATH DE number 1851000 (Why is no real title available?)
- Variable stepsize multivalue collocation methods
- Strong backward error analysis of symplectic integrators for stochastic Hamiltonian systems
- Random periodic solutions of SDEs: existence, uniqueness and numerical issues
- How do Monte Carlo estimates affect stochastic geometric numerical integration?
- Numerical conservation issues for jump Pearson diffusions
- Numerical integrations of stochastic contact Hamiltonian systems via stochastic contact Hamilton-Jacobi equation
- Energy transport in random perturbations of mechanical systems
- Contractivity of stochastic -methods under non-global Lipschitz conditions
- A long-term analysis of two types of compensated theta methods for jump-Pearson diffusions
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