Drift-preserving numerical integrators for stochastic Hamiltonian systems
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Publication:1986532
DOI10.1007/s10444-020-09771-5OpenAlexW3010883828MaRDI QIDQ1986532
Publication date: 8 April 2020
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.08804
energystrong convergenceweak convergencestochastic differential equationsnumerical schemestrace formulamultilevel Monte Carlostochastic Hamiltonian systems
Probabilistic models, generic numerical methods in probability and statistics (65C20) 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) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
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