A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
DOI10.1007/s10543-022-00924-0zbMath1504.65019OpenAlexW4283789119WikidataQ115384154 ScholiaQ115384154MaRDI QIDQ2100551
Guoguo Yang, Yoshio Komori, Xiao-Hua Ding, Kevin Burrage
Publication date: 22 November 2022
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-022-00924-0
conformal invariantconformal symplecticdamped stochastic differential equationsdamped stochastic Hamiltonian systemstochastic exponential Runge-Kutta integrators
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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)
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