Perturbative analysis of stochastic Hamiltonian problems under time discretizations

DOI10.1016/J.AML.2021.107223MaRDI QIDQ2233290zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 15 October 2021

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2021.107223

zbMATH Keywords

perturbative theorystochastic Runge-Kutta methodsstochastic Hamiltonian problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations
• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Geometric Numerical Integration
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• Improved \(\vartheta\)-methods for stochastic Volterra integral equations
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
• Mean-square contractivity of stochastic \(\vartheta\)-methods
• Nonlinear stability issues for stochastic Runge-Kutta methods
• Numerical preservation of long-term dynamics by stochastic two-step methods
• On the stability of -methods for stochastic Volterra integral equations
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

Cited in

(8)

• Positivity-preserving and elementary stable nonstandard method for a COVID-19 SIR model
• Numerical conservation issues for the stochastic Korteweg-de Vries equation
• How do Monte Carlo estimates affect stochastic geometric numerical integration?
• Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
• Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods
• On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
• On stochastic behavior of perturbed Hamiltonian systems
• Numerical conservation laws of time fractional diffusion PDEs

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