Weak backward error analysis for stochastic Hamiltonian systems

DOI10.1007/S10543-019-00747-6MaRDI QIDQ2273193zbMATH OpenOpenAlexFDO

Authors Cristina A. Anton

Publication date 18 September 2019

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-019-00747-6

zbMATH Keywords

backward error analysisKolmogorov equationstochastic Hamiltonian systemsweak symplectic scheme

Mathematics Subject Classification ID

Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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Cited in

(14)

• Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
• Backward error analysis for multisymplectic discretizations of Hamiltonian PDEs
• On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
• On global error of symplectic schemes for stochastic Hamiltonian systems
• Weak backward error analysis for SDEs
• Backstepping control in vector form for stochastic Hamiltonian systems
• Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
• Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
• Novel structure-preserving schemes for stochastic Klein-Gordon-Schrödinger equations with additive noise
• Strong backward error analysis of symplectic integrators for stochastic Hamiltonian systems
• Symplectic techniques for stochastic differential equations on reductive Lie groups with applications to Langevin diffusions
• Stochastic modified equations for symplectic methods applied to rough Hamiltonian systems
• Contractivity of stochastic -methods under non-global Lipschitz conditions
• Weak backward error analysis for Langevin process

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