Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
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Publication:5028595
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
stochastic differential equations; mean-square convergence; conserved quantity; discrete gradient methods; linear projection methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65P10: Numerical methods for Hamiltonian systems including symplectic integrators
37N30: Dynamical systems in numerical analysis
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