Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

DOI10.1007/s11075-013-9796-6zbMath1291.65017OpenAlexW2089446228MaRDI QIDQ2454389

Pamela M. Burrage, Kevin Burrage

Publication date: 13 June 2014

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/64187/1/NUMA-D-13-00147R2noLetter.pdf

zbMATH Keywords

numerical examplesRunge-Kutta methodsadditive noisesymplecticitystochastic Hamiltonian problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)

Related Items (27)

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