Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods

DOI10.1016/j.apnum.2014.08.003zbMath1302.65027MaRDI QIDQ465120

Jialin Hong, Peng Wang, Dongsheng Xu

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2014.08.003

zbMATH Keywords

strong convergence; weak convergence; stochastic differential equations; Runge-Kutta methods; numerical experiment; quadratic invariants; symplecticity

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65P10: Numerical methods for Hamiltonian systems including symplectic integrators