Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

DOI10.1016/j.amc.2012.06.053zbMath1302.65031OpenAlexW2064373059MaRDI QIDQ2445217

Qiang Ma, Xiao-Hua Ding, De-Qiong Ding

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.amc.2012.06.053

zbMATH Keywords

stochastic differential equationssymplectic integratorsstochastic Runge-Kutta methodsstochastic generating functionsstochastic Hamiltonian systems

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (20)

Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise ⋮ Stochastic multi-symplectic Runge-Kutta methods for stochastic Hamiltonian PDEs ⋮ Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise ⋮ General order conditions for stochastic partitioned Runge-Kutta methods ⋮ Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs ⋮ Generating functions for stochastic symplectic methods ⋮ Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems ⋮ Variational integrators for stochastic Hamiltonian systems on Lie groups ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods ⋮ Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations ⋮ Cheap arbitrary high order methods for single integrand SDEs ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise ⋮ Symplectic Runge--Kutta Semidiscretization for Stochastic Schrödinger Equation ⋮ A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations ⋮ A review on numerical schemes for solving a linear stochastic oscillator

Cites Work

• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• MS-stability of the Euler--Maruyama method for stochastic differential delay equations
• Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
• Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• Low-storage Runge-Kutta methods for stochastic differential equations
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• Compensated stochastic theta methods for stochastic differential equations with jumps
• Higher-order implicit strong numerical schemes for stochastic differential equations
• KAM theorem of symplectic algorithms for Hamiltonian systems
• Two-stage stochastic Runge-Kutta methods for stochastic differential equations
• Numerical simulation of a linear stochastic oscillator with additive noise
• Efficient symplectic Runge-Kutta methods
• Mean square stability of semi-implicit Euler method for linear stochastic differential equations with multiple delays and Markovian switching
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
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