How do Monte Carlo estimates affect stochastic geometric numerical integration?
DOI10.1080/00207160.2022.2107393zbMath1524.65028OpenAlexW4288826014WikidataQ114101704 ScholiaQ114101704MaRDI QIDQ6159558
Stefano Di Giovacchino, Raffaele D'Ambrosio
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
stochastic differential equationsMonte Carlo methodsadditive noisegeometric numerical integrationstochastic Hamiltonian problems
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
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