Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
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Publication:433932
DOI10.1016/J.CAM.2012.03.007zbMath1245.65007OpenAlexW2051363713MaRDI QIDQ433932
Kevin Burrage, Pamela M. Burrage
Publication date: 9 July 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.007
Related Items (34)
Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise ⋮ Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Numerical preservation of long-term dynamics by stochastic two-step methods ⋮ A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems ⋮ Numerical conservation issues for the stochastic Korteweg-de Vries equation ⋮ Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems ⋮ Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Nonlinear stability issues for stochastic Runge-Kutta methods ⋮ Efficient implementation of Radau collocation methods ⋮ Construction of Runge-Kutta type methods for solving ordinary differential equations ⋮ On the numerical structure preservation of nonlinear damped stochastic oscillators ⋮ Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise ⋮ Efficient implementation of Gauss collocation and Hamiltonian boundary value methods ⋮ Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations ⋮ Perturbative analysis of stochastic Hamiltonian problems under time discretizations ⋮ Explicit pseudo-symplectic methods for stochastic Hamiltonian systems ⋮ Drift-preserving numerical integrators for stochastic Hamiltonian systems ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Explicit pseudo-symplectic methods based on generating functions for stochastic Hamiltonian systems ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise ⋮ Weak backward error analysis for stochastic Hamiltonian systems ⋮ Taylor-type 1-step-ahead numerical differentiation rule for first-order derivative approximation and ZNN discretization ⋮ A note on the continuous-stage Runge-Kutta(-Nyström) formulation of Hamiltonian boundary value methods (HBVMs) ⋮ Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators ⋮ Stability issues for selected stochastic evolutionary problems: a review ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta ⋮ A symplectic homotopy perturbation method for stochastic and interval Hamiltonian systems and its applications in structural dynamic systems ⋮ A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
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