Energy-preserving integrators for stochastic Poisson systems

DOI10.4310/CMS.2014.V12.N8.A7zbMATH Open1310.60074MaRDI QIDQ487979FDOQ487979

Yong-Cai Geng, Sumit K. Garg

Publication date: 23 January 2015

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

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zbMATH Keywords

Casimir functionenergy-preserving numerical schemesstochastic midpoint schemestochastic Poisson systemsStratonovich SDEs

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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)

Cited In (27)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Numerical conservation issues for the stochastic Korteweg-de Vries equation
• High order numerical integrators for single integrand Stratonovich SDEs
• Data-driven structure-preserving model reduction for stochastic Hamiltonian systems
• How do Monte Carlo estimates affect stochastic geometric numerical integration?
• Exponential discrete gradient schemes for a class of stochastic differential equations
• Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems
• STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY
• Title not available (Why is that?)
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• Two Novel Classes of Arbitrary High-Order Structure-Preserving Algorithms for Canonical Hamiltonian Systems
• A unified framework for the study of high-order energy-preserving integrators for solving Poisson systems
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Drift-preserving numerical integrators for stochastic Poisson systems
• Linear energy-preserving integrators for Poisson systems
• Structure-Preserving Numerical Methods for Stochastic Poisson Systems
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods
• Splitting integrators for stochastic Lie–Poisson systems
• High-Order Energy-Preserving Methods for Stochastic Poisson Systems
• The linearly backward Milstein method with truncated Wiener process for the stochastic SIS epidemic model
• Cheap arbitrary high order methods for single integrand SDEs
• An energy-conserving method for stochastic Maxwell equations with multiplicative noise
• Projection methods for stochastic differential equations with conserved quantities

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