How do Monte Carlo estimates affect stochastic geometric numerical integration?

DOI10.1080/00207160.2022.2107393MaRDI QIDQ6159558zbMATH OpenOpenAlexWikidataFDO

Authors Raffaele D'Ambrosio, Stefano Di Giovacchino

Publication date 20 June 2023

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

Full work available at URL https://doi.org/10.1080/00207160.2022.2107393

zbMATH Keywords

additive noisegeometric numerical integrationMonte Carlo methodsstochastic differential equationsstochastic Hamiltonian problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

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