Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths

DOI10.1016/j.apnum.2018.03.006OpenAlexW2607108946MaRDI QIDQ1748060

Xu Wang, Jialin Hong, Chuying Huang

Publication date: 2 May 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04144

zbMATH Keywords

implicit methodHamiltonian systemrough pathsymplectic Runge-Kutta methodpathwise convergence rate

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions ⋮ Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises

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