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

DOI10.1016/J.AMC.2018.10.041MaRDI QIDQ2008448zbMATH OpenOpenAlexWikidataFDO

Authors Minggang Han, Qiang Ma, Xiaohua 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)

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Cited in

(21)

• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Explicit pseudo-symplectic methods for stochastic Hamiltonian systems
• 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
• Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems
• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• How do Monte Carlo estimates affect stochastic geometric numerical integration?
• Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
• Drift-preserving numerical integrators for stochastic Poisson systems
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Perturbative analysis of stochastic Hamiltonian problems under time discretizations
• Construction of symplectic Runge-Kutta methods for stochastic Hamiltonian systems
• Splitting integrators for stochastic Lie–Poisson systems
• A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
• Uniformly accurate schemes for drift-oscillatory stochastic differential equations
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• 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
• Simulation of stochastic optimal control problems with symplectic partitioned Runge-Kutta scheme
• A symplectic homotopy perturbation method for stochastic and interval Hamiltonian systems and its applications in structural dynamic systems

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