High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise

DOI10.1016/j.amc.2018.10.041zbMath1429.65016OpenAlexW2899952770WikidataQ128969391 ScholiaQ128969391MaRDI QIDQ2008448

Qiang Ma, Minggang Han, Xiao-Hua Ding

Publication date: 25 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.10.041

zbMATH Keywords

symplectic integratorstochastic Hamiltonian systemstochastic partitioned Runge-Kutta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Dynamical systems in numerical analysis (37N30)

Related Items (8)

Drift-preserving numerical integrators for stochastic Poisson systems ⋮ Uniformly accurate schemes for drift-oscillatory stochastic differential equations ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Perturbative analysis of stochastic Hamiltonian problems under time discretizations ⋮ Drift-preserving numerical integrators for stochastic Hamiltonian systems ⋮ A symplectic homotopy perturbation method for stochastic and interval Hamiltonian systems and its applications in structural dynamic systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
• T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• General order conditions for stochastic partitioned Runge-Kutta methods
• Singular stochastic differential equations.
• A review on numerical schemes for solving a linear stochastic oscillator
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Symplectic Geometric Algorithms for Hamiltonian Systems
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Partitioned Runge-Kutta Methods for Separable Hamiltonian Problems
• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Coefficients for the study of Runge-Kutta integration processes

This page was built for publication: High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise