Projection methods for stochastic differential equations with conserved quantities

DOI10.1007/S10543-016-0614-0zbMATH Open1354.60081arXiv1601.04157OpenAlexW2296570413MaRDI QIDQ727906FDOQ727906

Authors: W. E. Zhou, Liying Zhang, Jialin Hong, Song-He Song 

Publication date: 21 December 2016

Published in: BIT (Search for Journal in Brave)

Abstract: In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The mean-square convergence orders of these methods under certain conditions are given, which can reach order 1.5 or even 2 according to the supporting methods embedded in the projection step. Finally, three numerical experiments are taken into account to show the superiority of the projection methods.

Full work available at URL: https://arxiv.org/abs/1601.04157

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zbMATH Keywords

stochastic differential equationsprojection methodsconserved quantitiesmean-square convergence

Mathematics Subject Classification ID

Numerical integration (65D30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (21)

• Drift-preserving numerical integrators for stochastic Hamiltonian systems
• Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
• Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
• Projective Stochastic Equations and Nonlinear Long Memory
• Analysis of some discretization schemes for constrained stochastic differential equations
• Stochastic dynamics for inextensible fibers in a spatially semi-discrete setting
• Parareal algorithms applied to stochastic differential equations with conserved quantities
• Conserved-quantity-preserving method for stochastic differential equations by projection technique
• Numerical simulations of stochastic differential equations with multiple conserved quantities by conservative methods
• An energy-momentum conserving scheme for Hamiltonian wave equation based on multiquadric trigonometric quasi-interpolation
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• Stochastic global momentum-preserving schemes for two-dimensional stochastic partial differential equations
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
• Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations
• Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
• Discrete gradient approach to stochastic differential equations with a conserved quantity
• Conservative stochastic differential equations: mathematical and numerical analysis
• Data-driven approximation of the Koopman generator: model reduction, system identification, and control
• Conservative methods for stochastic differential equations with a conserved quantity
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• The random projection method for hyperbolic conservation laws with stiff reaction terms

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