Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems

DOI10.1007/BF03167340zbMath1306.37094OpenAlexW2010804519MaRDI QIDQ2258378

Tetsuya Misawa

Publication date: 3 March 2015

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03167340

zbMATH Keywords

energy conservative schemestochastic Hamilton dynamical systemsstochastic difference scheme

Mathematics Subject Classification ID

Related Items (14)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems ⋮ An energy-conserving method for stochastic Maxwell equations with multiplicative noise ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods ⋮ Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations ⋮ Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods ⋮ Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations ⋮ A class of orthogonal integrators for stochastic differential equations ⋮ Projection methods for stochastic differential equations with conserved quantities ⋮ STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY ⋮ Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations

Cites Work

• Simulation of stochastic differential equations
• Explicit energy conservative difference schemes for nonlinear dynamical systems with at most quartic potentials
• Conserved quantities and symmetry for stochastic dynamical systems
• Conservative numerical methods for \(\ddot x=f(x)\)
• Stochastic Model of an Integrable Nonlinear System
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