CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY

	CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY
	Chen, Chuchu1,2 ; Cohen, David 3; Hong, Jialin1
	2016
发表期刊	INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING
ISSN	1705-5105
卷号	13 期号:3 页码:435-456
摘要	This paper proposes a novel conservative method for the numerical approximation of general stochastic differential equations in the Stratonovich sense with a conserved quantity. We show that the mean-square order of the method is 1 if noises are commutative and that the weak order is 1 in the general case. Since the proposed method may need the computation of a deterministic integral, we analyse the effect of the use of quadrature formulas on the convergence orders. Furthermore, based on the splitting technique of stochastic vector fields, we construct conservative composition methods with similar orders as the above method. Finally, numerical experiments are presented to support our theoretical results.
关键词	Stochastic differential equations invariants conservative methods stochastic geometric numerical integration quadrature formula splitting technique mean-square convergence order weak convergence order
语种	英语
资助项目	National Natural Science Foundation of China[91130003] ; National Natural Science Foundation of China[11021101] ; National Natural Science Foundation of China[11290142] ; UMIT Research Lab at Umea University ; Swedish Research Council (VR)
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000376450900006
出版者	ISCI-INST SCIENTIFIC COMPUTING & INFORMATION
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22807
专题	计算数学与科学工程计算研究所
通讯作者	Chen, Chuchu; Cohen, David; Hong, Jialin
作者单位	1.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing, Peoples R China 2.Purdue Univ, Dept Math, W Lafayette, IN 47907 USA 3.Umea Univ, Matemat & Matemat Stat, S-90187 Umea, Sweden
推荐引用方式 GB/T 7714	Chen, Chuchu,Cohen, David,Hong, Jialin. CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY[J]. INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,2016,13(3):435-456.
APA	Chen, Chuchu,Cohen, David,&Hong, Jialin.(2016).CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY.INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,13(3),435-456.
MLA	Chen, Chuchu,et al."CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY".INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING 13.3(2016):435-456.