Generating functions for stochastic symplectic methods

DOI10.3934/DCDS.2014.34.1211MaRDI QIDQ379801zbMATH OpenOpenAlexFDO

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

generating functionsHamilton-Jacobi PDEsnumerical examplesstochastic Hamiltonian systemsstochastic symplectic methodssymplectic integrationsymplecticity

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical computation of solutions to systems of equations (65H10) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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• The stochastic Hamilton-Jacobi equation

Cited in

(21)

• A new class of symplectic integration schemes based on generating functions
• Variational description for the generating function method of first kind
• Stochastic discrete Hamiltonian variational integrators
• Explicit pseudo-symplectic methods for stochastic Hamiltonian systems
• Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems
• Positivity-preserving symplectic methods for the stochastic Lotka-Volterra predator-prey model
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• A review on stochastic multi-symplectic methods for stochastic Maxwell equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
• High order conformal symplectic and ergodic schemes for the stochastic Langevin equation via generating functions
• Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
• A note on the generating function method
• Structure-Preserving Numerical Methods for Stochastic Poisson Systems
• Symplectic schemes for stochastic Hamiltonian systems preserving Hamiltonian functions
• Two Novel Classes of Arbitrary High-Order Structure-Preserving Algorithms for Canonical Hamiltonian Systems
• Splitting integrators for stochastic Lie–Poisson systems
• A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
• 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

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