Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
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Lie algebras of vector fields and related (super) algebras (17B66) Generation, random and stochastic difference and differential equations (37H10) 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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Cites work
- A Lie algebraic approach to numerical integration of stochastic differential equations
- Conserved quantities and symmetries related to stochastic dynamical systems
- Geometric Numerical Integration
- High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
- scientific article; zbMATH DE number 4022294 (Why is no real title available?)
- scientific article; zbMATH DE number 3684633 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- Simulation of stochastic differential equations
- Splitting methods
- Stochastic Lie Group Integrators
- Stochastic variational integrators
Cited in
(16)- Stochastic discrete Hamiltonian variational integrators
- High order numerical integrators for single integrand Stratonovich SDEs
- Arbitrary high-order EQUIP methods for stochastic canonical Hamiltonian systems
- Weak symplectic schemes for stochastic Hamiltonian equations
- On the conservative character of discretizations to Itô-Hamiltonian systems with small noise
- On global error of symplectic schemes for stochastic Hamiltonian systems
- Stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
- Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
- scientific article; zbMATH DE number 7485185 (Why is no real title available?)
- Long-Term Analysis of Stochastic Hamiltonian Systems Under Time Discretizations
- Splitting integrators for stochastic Lie–Poisson systems
- Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus
- A novel way constructing symplectic stochastic partitioned Runge-Kutta methods for stochastic Hamiltonian systems
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Numerical integrations of stochastic contact Hamiltonian systems via stochastic contact Hamilton-Jacobi equation
- Projection methods for stochastic differential equations with conserved quantities
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