Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
DOI10.1007/s10543-020-00803-6zbMath1469.65027arXiv1810.10737OpenAlexW3007270162MaRDI QIDQ2216479
Chuchu Chen, Diancong Jin, Jialin Hong
Publication date: 16 December 2020
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.10737
invariantsstochastic differential equationsconservative methodsquadrature formulamean square convergence order
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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