Numerical analysis of degenerate Kolmogorov equations of constrained stochastic Hamiltonian systems

DOI10.1016/J.CAMWA.2019.04.013zbMath1443.65435OpenAlexW2946091172WikidataQ127893241 ScholiaQ127893241MaRDI QIDQ2203519

Olivier Pironneau, Laurent Mertz

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.04.013

zbMATH Keywords

nonlocal boundary conditionspartial differential equationsRice's formulaconstrained stochastic Hamiltonian system

Mathematics Subject Classification ID

Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Cites Work

• Unnamed Item
• NonLocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-Plastic Oscillator Excited by a Filtered Noise
• An Ultra Weak Finite Element Method as an Alternative to a Monte Carlo Method for an Elasto-Plastic Problem with Noise
• Analysis of Finite Difference Schemes
• Penalization of Nonsmooth Dynamical Systems with Noise: Ergodicity and Asymptotic Formulae for Threshold Crossings Probabilities
• Mathematical Analysis of Random Noise

This page was built for publication: Numerical analysis of degenerate Kolmogorov equations of constrained stochastic Hamiltonian systems