Discrete gradient approach to stochastic differential equations with a conserved quantity
DOI10.1137/090771880zbMATH Open1258.65006OpenAlexW2092589233MaRDI QIDQ3116396FDOQ3116396
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
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numerical experimentssplitting techniquemean-square convergenceconserved quantitydiscrete gradientstochastic differential equation in the Stratonovich sense
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)
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
- Exponential discrete gradient schemes for a class of stochastic differential equations
- Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems
- Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
- Stochastic global momentum-preserving schemes for two-dimensional stochastic partial differential equations
- 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
- 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
- Positive solutions for a system of fourth-order differential equations with integral boundary conditions and two parameters
- Conservative methods for stochastic differential equations with a conserved quantity
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Projection methods for stochastic differential equations with conserved quantities
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