Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise

DOI10.1016/J.AMC.2014.12.045zbMATH Open1338.65012OpenAlexW2045177440MaRDI QIDQ298766FDOQ298766

Authors: Qiang Ma, Xiaohua Ding 

Publication date: 21 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.12.045

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zbMATH Keywords

stochastic differential equationssymplectic integratorsstochastic generating functionsstochastic Hamiltonian systemsstochastic partitioned Runge-Kutta methods

Mathematics Subject Classification ID

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

Cites Work

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Cited In (19)

• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Data-driven structure-preserving model reduction for stochastic Hamiltonian systems
• A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
• Issues in the Software Implementation of Stochastic Numerical Runge–Kutta
• Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Stochastic multi-symplectic Runge-Kutta methods for stochastic Hamiltonian PDEs
• Construction of symplectic Runge-Kutta methods for stochastic Hamiltonian systems
• Simulation of stochastic optimal control problems with symplectic partitioned Runge-Kutta scheme
• High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
• Discrete stochastic port-Hamiltonian systems
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Symplectic waveform relaxation methods for Hamiltonian systems
• Stochastic discrete Hamiltonian variational integrators
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• General order conditions for stochastic partitioned Runge-Kutta methods

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