Weak symplectic schemes for stochastic Hamiltonian equations

zbMath1295.65121MaRDI QIDQ2510851

Yau Shu Wong, Jian Deng, Cristina Anton

Publication date: 4 August 2014

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/ETNA/volumes/2011-2020/vol43/abstract_vol43_pp1-20.html

zbMATH Keywords

convergencesymplectic integrationstochastic Hamiltonian systemsmultiple Itô stochastic integralnumerical scheme in weak sense

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (7)

Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Modified equations for weakly convergent stochastic symplectic schemes via their generating functions ⋮ Unnamed Item ⋮ High Order Conformal Symplectic and Ergodic Schemes for the Stochastic Langevin Equation via Generating Functions ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems

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