Drift-preserving numerical integrators for stochastic Poisson systems
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Publication:5033354
DOI10.1080/00207160.2021.1922679zbMath1480.65014arXiv2005.13991OpenAlexW3158227060MaRDI QIDQ5033354
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Publication date: 22 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.13991
energystrong convergenceweak convergencestochastic differential equationsnumerical schemestrace formulaCasimirstochastic Hamiltonian systemsstochastic Poisson systems
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 methods for Hamiltonian systems including symplectic integrators (65P10)
Related Items (9)
Splitting integrators for stochastic Lie–Poisson systems ⋮ On the conservative character of discretizations to Itô-Hamiltonian systems with small noise ⋮ Splitting schemes for FitzHugh-Nagumo stochastic partial differential equations ⋮ Analysis of a splitting scheme for a class of nonlinear stochastic Schrödinger equations ⋮ Data-driven structure-preserving model reduction for stochastic Hamiltonian systems ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ How do Monte Carlo estimates affect stochastic geometric numerical integration? ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Drift-preserving numerical integrators for stochastic Hamiltonian systems
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