Conservative methods for stochastic differential equations with a conserved quantity

zbMath1344.60066arXiv1411.1819MaRDI QIDQ3186772

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Publication date: 12 August 2016

Full work available at URL: https://arxiv.org/abs/1411.1819

zbMATH Keywords

invariantsstochastic differential equationsconservative methodsquadrature formulasplitting techniquemean-square convergence orderstochastic geometric numerical integrationweak convergence order

Mathematics Subject Classification ID

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 integration (65D30)

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Density function of numerical solution of splitting AVF scheme for stochastic Langevin equation ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations ⋮ Drift-preserving numerical integrators for stochastic Hamiltonian systems ⋮ Projection methods for stochastic differential equations with conserved quantities

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