Exponential discrete gradient schemes for a class of stochastic differential equations

DOI10.1016/j.cam.2021.113797OpenAlexW3198711128WikidataQ115359664 ScholiaQ115359664MaRDI QIDQ2237917

Jialin Ruan, Pengjun Wang, Lijin Wang

Publication date: 28 October 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113797

zbMATH Keywords

stochastic differential equationsmean-square convergenceexponential integratorsdiscrete gradient methodsstructure-preserving algorithms

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical integration (65D30)

Cites Work

• Unnamed Item
• Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
• A stochastic multi-symplectic scheme for stochastic Maxwell equations with additive noise
• Convergence analysis of trigonometric methods for stiff second-order stochastic differential equations
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• On the numerical discretisation of stochastic oscillators
• Energy-preserving integrators for stochastic Poisson systems
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Analysis and discretization of semi-linear stochastic wave equations with cubic nonlinearity and additive space-time noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean-square stability of numerical schemes for stochastic differential systems
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Numerical simulation of a linear stochastic oscillator with additive noise
• Stochastic exponential integrator for finite element spatial discretization of stochastic elastic equation
• Symplectic exponential Runge-Kutta methods for solving nonlinear Hamiltonian systems
• Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations
• Exponential Integrators Preserving First Integrals or Lyapunov Functions for Conservative or Dissipative Systems
• Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity
• Geometric integration using discrete gradients
• Quasi-symplectic methods for Langevin-type equations
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• High Order Conformal Symplectic and Ergodic Schemes for the Stochastic Langevin Equation via Generating Functions
• Numerical Methods for Stochastic Systems Preserving Symplectic Structure
• Stochastic exponential integrators for the finite element discretization of SPDEs for multiplicative and additive noise
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Weak exponential schemes for stochastic differential equations with additive noise
• High-Order Symplectic Schemes for Stochastic Hamiltonian Systems
• Geometric Numerical Integration

This page was built for publication: Exponential discrete gradient schemes for a class of stochastic differential equations