How do Monte Carlo estimates affect stochastic geometric numerical integration? (Q6159558)

scientific article; zbMATH DE number 7699187

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English	How do Monte Carlo estimates affect stochastic geometric numerical integration?	scientific article; zbMATH DE number 7699187

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instance of

scholarly article

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title

How do Monte Carlo estimates affect stochastic geometric numerical integration? (English)

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author

Raffaele D'Ambrosio

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Stefano Di Giovacchino

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published in

International Journal of Computer Mathematics

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publication date

20 June 2023

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zbMATH Keywords

stochastic differential equations

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Monte Carlo methods

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stochastic Hamiltonian problems

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geometric numerical integration

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additive noise

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2022.2107393

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cites work

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Full Discretization of Semilinear Stochastic Wave Equations Driven by Multiplicative Noise

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Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise

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Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

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The minimal stage, energy preserving Runge–Kutta method for polynomial Hamiltonian systems is the averaged vector field method

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A-stability preserving perturbation of Runge-Kutta methods for stochastic differential equations

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On the numerical discretisation of stochastic oscillators

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A Trigonometric Method for the Linear Stochastic Wave Equation

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Exponential integrators for stochastic Maxwell's equations driven by Itô noise

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Linear energy-preserving integrators for Poisson systems

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Drift-preserving numerical integrators for stochastic Poisson systems

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On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Q4826106

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An energy-preserving exponentially-fitted continuous stage Runge-Kutta method for Hamiltonian systems

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A Characterization of Energy-Preserving Methods and the Construction of Parallel Integrators for Hamiltonian Systems

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Identifiers

zbMATH Open document ID

1524.65028

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DOI

10.1080/00207160.2022.2107393

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6159558