Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise

DOI10.1016/j.cam.2017.04.050zbMath1367.65015arXiv1601.04161OpenAlexW2521918606MaRDI QIDQ2359994

Jialin Hong, Songhe Song, Weien Zhou, Jing-Jing Zhang

Publication date: 23 June 2017

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

Full work available at URL: https://arxiv.org/abs/1601.04161

zbMATH Keywords

stochastic differential equationsHamiltonian systemsymplectic integratorsmean-square convergencestochastic Runge-Kutta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Generation, random and stochastic difference and differential equations (37H10) 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) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15)

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