Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods

DOI10.1016/J.CNSNS.2020.105538MaRDI QIDQ2213488zbMATH OpenOpenAlexFDO

Authors Guoguo Yang, Xuliang Li, Xaiohua Ding

Publication date 2 December 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2020.105538

zbMATH Keywords

stochastic differential equationsstochastic partitioned Runge-Kutta methodsenergy-preserving methodsstochastic canonical Hamiltonian systems

Mathematics Subject Classification ID

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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Cited in

(5)

• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• High-order energy-preserving methods for stochastic Poisson systems
• Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise

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