Numerical Stochastic Integration for Quasi-Symplectic Flows

DOI10.1137/040620965zbMath1103.65131DBLPjournals/siamsc/Mannella06OpenAlexW2019092624WikidataQ62556190 ScholiaQ62556190MaRDI QIDQ5470407

Riccardo Mannella

Publication date: 30 May 2006

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040620965

zbMATH Keywords

numerical integrationnumerical examplesstochastic differential equationssymplectic integrationLangevin equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) 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)

Related Items (3)

Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise ⋮ Recovering the Fourier law in harmonic chains: a Hamiltonian realization of the Debye/Visscher model ⋮ Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations

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