Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity

DOI10.1137/090771880zbMath1258.65006OpenAlexW2092589233MaRDI QIDQ3116396

Shuxing Zhai, Jialin Hong, 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 experiments splitting technique mean-square convergence conserved quantity discrete gradient stochastic 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)

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