Stochastic symplectic methods based on the Padé approximations for linear stochastic Hamiltonian systems
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Publication:730570
DOI10.1016/j.cam.2016.08.011zbMath1416.65518OpenAlexW2516978584MaRDI QIDQ730570
Publication date: 28 December 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.08.011
Padé approximationsymplectic methodslinear stochastic Hamiltonian systemsroot-mean-square convergence order
Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
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Cites Work
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- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical simulation of a linear stochastic oscillator with additive noise
- Predictor-corrector methods for a linear stochastic oscillator with additive noise
- Weak symplectic schemes for stochastic Hamiltonian equations
- Stochastic variational integrators
- Symplectic Geometric Algorithms for Hamiltonian Systems
- Symplectic Integration of Hamiltonian Systems with Additive Noise
- Numerical Methods for Stochastic Systems Preserving Symplectic Structure
- High-Order Symplectic Schemes for Stochastic Hamiltonian Systems
- Stochastic differential equations. An introduction with applications.
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