Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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)

Cites Work

Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
Runge-Kutta schemes for Hamiltonian systems
Higher-order implicit strong numerical schemes for stochastic differential equations
Pseudo-symplectic Runge-Kutta methods
General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
On quadratic invariants and symplectic structure
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High-order stochastic symplectic partitioned Runge-Kutta methods for stochastic Hamiltonian systems with additive noise
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Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
Order Conditions for Canonical Runge–Kutta Schemes
Symplectic Integration of Hamiltonian Systems with Additive Noise
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High-Order Symplectic Schemes for Stochastic Hamiltonian Systems
Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems
Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
Geometric Numerical Integration
Numerical Methods for Ordinary Differential Equations
High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
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