Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems

DOI10.4208/cicp.261014.230616azbMath1388.65183OpenAlexW2560527272MaRDI QIDQ5372597

Dongsheng Xu, Peng Wang, Jialin Hong

Publication date: 27 October 2017

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d06155f1b7279aaa3bc27e08fb3b5dda53bc1203

Mathematics Subject Classification ID

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 (10)

Stochastic discrete Hamiltonian variational integrators ⋮ General order conditions for stochastic partitioned Runge-Kutta methods ⋮ Splitting integrators for stochastic Lie–Poisson systems ⋮ Symplectic‐preserving Fourier spectral scheme for space fractional<scp>Klein–Gordon–Schrödinger</scp>equations ⋮ Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems ⋮ Data-driven structure-preserving model reduction for stochastic Hamiltonian systems ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths ⋮ High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise

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