Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations

DOI10.1080/00207160.2017.1408803zbMATH Open1499.60196OpenAlexW2768217516MaRDI QIDQ5028595FDOQ5028595

Authors: Xiuyan Li, Qiang Ma, C. P. Zhang, Xiaohua Ding 

Publication date: 10 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2017.1408803

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• Conserved-quantity-preserving method for stochastic differential equations by projection technique
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• Projection methods for stochastic differential equations with conserved quantities

zbMATH Keywords

stochastic differential equationsmean-square convergenceconserved quantitydiscrete gradient methodslinear projection methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Dynamical systems in numerical analysis (37N30)

Cites Work

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Cited In (11)

• The Magnus expansion for stochastic differential equations
• Conserved-quantity-preserving method for stochastic differential equations by projection technique
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• Numerical methods preserving multiple Hamiltonians for stochastic Poisson systems
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• Continuous stage stochastic Runge-Kutta methods
• Stochastic partitioned averaged vector field methods for stochastic differential equations with a conserved quantity
• Discrete gradient approach to stochastic differential equations with a conserved quantity
• Projection methods and discrete gradient methods for preserving first integrals of ODEs
• Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations
• Projection methods for stochastic differential equations with conserved quantities

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