Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
type: Item
instance of: scholarly article
title: Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
zbMATH Open document ID: 1355.65018
author: Lijin Wang
author: Jialin Hong
author: Liying Sun
published in: BIT
publication date: 2016-10-21T00:00:00Z
review text: Based on the underlying generating functions, the authors construct modified equations of weak \(k+k'\) order (where \(k'\in{\mathbb N}\)), which are beyond \(k\)th-order weakly convergenct stochastic symplectic methods. Their approach works for stochastic Hamiltonian systems with additive noises and, quoting from the abstract, with ``multiplicative noises but for which the Hamiltonian functions \(H_r(p,q)\), \(r\geq 1\), associated to the diffusion parts depend only on \(p\) or on \(q\)''. In these situations, it is shown that the modified equations of the weakly convergent stochastic symplectic methods are perturbed stochastic Hamiltonian systems of the original equations. Several numerical tests illustrate the approach.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65P10
Mathematics Subject Classification ID: 37H10
Mathematics Subject Classification ID: 37M15
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6641944
zbMATH Keywords: stochastic backward error analysis
zbMATH Keywords: stochastic modified equations
zbMATH Keywords: stochastic symplectic methods
zbMATH Keywords: stochastic Hamiltonian systems
zbMATH Keywords: stochastic generating functions
zbMATH Keywords: numerical test
reviewed by: Christian Pötzsche
MaRDI profile type: MaRDI publication profile
full work available at URL: s10543-015-0583-8
OpenAlex ID: W2170649762
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DOI: 10.1007/S10543-015-0583-8
description: scientific article; zbMATH DE number 6641944