Discrete gradient approach to stochastic differential equations with a conserved quantity

DOI10.1137/090771880MaRDI QIDQ3116396zbMATH OpenOpenAlexFDO

Authors Jialin Hong, Shuxing Zhai, Jing-Jing Zhang

Publication date 22 February 2012

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090771880

zbMATH Keywords

numerical experimentssplitting techniquemean-square convergenceconserved quantitydiscrete gradientstochastic differential equation in the Stratonovich sense

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear first-order PDEs (35F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Conservative methods for stochastic differential equations with a conserved quantity
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Projection methods for stochastic differential equations with conserved quantities

Cited in

(20)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• High order numerical integrators for single integrand Stratonovich SDEs
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Stochastic dynamics for inextensible fibers in a spatially semi-discrete setting
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems
• Exponential discrete gradient schemes for a class of stochastic differential equations
• Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
• Stochastic global momentum-preserving schemes for two-dimensional stochastic partial differential equations
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• An energy-conserving method for stochastic Maxwell equations with multiplicative noise
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• Conservative methods for stochastic differential equations with a conserved quantity
• Positive solutions for a system of fourth-order differential equations with integral boundary conditions and two parameters
• Projection methods for stochastic differential equations with conserved quantities

This page was built for publication: Discrete gradient approach to stochastic differential equations with a conserved quantity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3116396)