Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations

DOI10.1137/21M1458612OpenAlexW4324351008MaRDI QIDQ5886858

Raffaele D'Ambrosio, Stefano Di Giovacchino

Publication date: 11 April 2023

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1458612

zbMATH Keywords

symplectic methodsbackward error analysisstochastic Hamiltonian

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Related Items (4)

Variable stepsize multivalue collocation methods ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions

Uses Software

• RODAS

Cites Work

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