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

DOI10.1080/00207160.2017.1408803zbMath1499.60196MaRDI QIDQ5028595

Xiuyan Li, Qiang Ma, Chi-Ping Zhang, Xiao-Hua 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

zbMATH Keywords

stochastic differential equations; mean-square convergence; conserved quantity; discrete gradient methods; linear projection methods

Mathematics Subject Classification ID

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

65P10: Numerical methods for Hamiltonian systems including symplectic integrators

37N30: Dynamical systems in numerical analysis

Related Items

Numerical Simulations of Stochastic Differential Equations with Multiple Conserved Quantities by Conservative Methods, STOCHASTIC PARTITIONED AVERAGED VECTOR FIELD METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY, Structure-preserving stochastic conformal exponential integrator for linearly damped stochastic differential equations, 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, The Magnus expansion for stochastic differential equations

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