Error expansion for a symplectic scheme for stochastic Hamiltonian systems

DOI10.1007/978-3-319-99719-3_51zbMath1416.65508OpenAlexW2898772723MaRDI QIDQ2417145

Cristina Anton

Publication date: 11 June 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-99719-3_51

zbMATH Keywords

Kolmogorov equationbackward error analysisstochastic Hamiltonian systemsweak symplectic scheme

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Error analysis and interval analysis (65G99)

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