Projection methods for stochastic differential equations with conserved quantities

DOI10.1007/S10543-016-0614-0MaRDI QIDQ727906zbMATH OpenOpenAlexFDO

Authors W. E. Zhou, Liying Zhang, Jialin Hong, Song-He Song

Publication date 21 December 2016

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.04157

zbMATH Keywords

stochastic differential equationsprojection methodsconserved quantitiesmean-square convergence

Mathematics Subject Classification ID

Numerical integration (65D30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The mean-square convergence orders of these methods under certain conditions are given, which can reach order 1.5 or even 2 according to the supporting methods embedded in the projection step. Finally, three numerical experiments are taken into account to show the superiority of the projection methods.

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Cited in

(21)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Projective Stochastic Equations and Nonlinear Long Memory
• Analysis of some discretization schemes for constrained stochastic differential equations
• Stochastic dynamics for inextensible fibers in a spatially semi-discrete setting
• Parareal algorithms applied to stochastic differential equations with conserved quantities
• Conserved-quantity-preserving method for stochastic differential equations by projection technique
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• An energy-momentum conserving scheme for Hamiltonian wave equation based on multiquadric trigonometric quasi-interpolation
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• Stochastic global momentum-preserving schemes for two-dimensional stochastic partial differential equations
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Discrete gradient approach to stochastic differential equations with a conserved quantity
• Data-driven approximation of the Koopman generator: model reduction, system identification, and control
• Conservative stochastic differential equations: mathematical and numerical analysis
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• Conservative methods for stochastic differential equations with a conserved quantity
• The random projection method for hyperbolic conservation laws with stiff reaction terms

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