Generating functions for stochastic symplectic methods

DOI10.3934/DCDS.2014.34.1211MaRDI QIDQ379801zbMATHOpenAlexFDO

Authors Lijin Wang, Jialin Hong

Publication date 11 November 2013

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcds.2014.34.1211

zbMATH Keywords

numerical examplesgenerating functionssymplectic integrationstochastic Hamiltonian systemsstochastic symplectic methodsHamilton-Jacobi PDEssymplecticity

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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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• An algorithmic introduction to numerical simulation of stochastic differential equations
• Discrete Hamiltonian variational integrators
• Midpoint rule for a linear stochastic oscillator with additive noise
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Numerical simulation of a linear stochastic oscillator with additive noise
• Order conditions of stochastic Runge--Kutta methods by B-series
• Predictor-corrector methods for a linear stochastic oscillator with additive noise
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• The stochastic Hamilton-Jacobi equation

Cited in

(21)

• Two Novel Classes of Arbitrary High-Order Structure-Preserving Algorithms for Canonical Hamiltonian Systems
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• 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
• Explicit pseudo-symplectic methods for stochastic Hamiltonian systems
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Variational description for the generating function method of first kind
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• Generating functions for dynamical systems with symmetries, integrals, and differential invariants
• Stochastic discrete Hamiltonian variational integrators
• Splitting integrators for stochastic Lie–Poisson systems
• A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
• A new class of symplectic integration schemes based on generating functions
• Positivity-preserving symplectic methods for the stochastic Lotka-Volterra predator-prey model
• Symplectic schemes for stochastic Hamiltonian systems preserving Hamiltonian functions
• A review on stochastic multi-symplectic methods for stochastic Maxwell equations
• Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
• A note on the generating function method
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems
• Structure-Preserving Numerical Methods for Stochastic Poisson Systems

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