Numerical Methods for Stochastic Systems Preserving Symplectic Structure
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Publication:4785830
DOI10.1137/S0036142901395588zbMath1028.60064OpenAlexW2032090338MaRDI QIDQ4785830
M. V. Tretyakov, Yu. M. Repin, Grigori N. Milstein
Publication date: 5 January 2003
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142901395588
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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