Drift-preserving numerical integrators for stochastic Hamiltonian systems

DOI10.1007/S10444-020-09771-5arXiv1907.08804MaRDI QIDQ6322420

Raffaele D'Ambrosio, David W. Cohen, Chuchu Chen, Annika Lang

Publication date: 20 July 2019

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 methods for Hamiltonian systems including symplectic integrators (65P10)

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