Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
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numerical teststochastic generating functionsstochastic Hamiltonian systemsstochastic backward error analysisstochastic modified equationsstochastic symplectic methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) 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)
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Cites work
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- scientific article; zbMATH DE number 4116055 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- scientific article; zbMATH DE number 3274159 (Why is no real title available?)
- Aspects of backward error analysis of numerical ODEs
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- Discretization of homoclinic orbits, rapid forcing and “invisible” chaos
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- High weak order methods for stochastic differential equations based on modified equations
- High-order symplectic schemes for stochastic Hamiltonian systems
- Long time accuracy of Lie-Trotter splitting methods for Langevin dynamics
- Midpoint rule for a linear stochastic oscillator with additive noise
- Modified equations for stochastic differential equations
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Numerical simulation of a linear stochastic oscillator with additive noise
- On the Hamiltonian interpolation of near-to-the-identity symplectic mappings with application to symplectic integration algorithms
- On the Scope of the Method of Modified Equations
- On the existence and the applications of modified equations for stochastic differential equations
- Recent progress in the theory and application of symplectic integrators
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Cited in
(9)- On the existence and the applications of modified equations for stochastic differential equations
- Computing effective diffusivity of chaotic and stochastic flows using structure-preserving schemes
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
- Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
- High order conformal symplectic and ergodic schemes for the stochastic Langevin equation via generating functions
- Weak backward error analysis for stochastic Hamiltonian systems
- Modified equations for stochastic differential equations
- Exponential discrete gradient schemes for a class of stochastic differential equations
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