Modified equations for weakly convergent stochastic symplectic schemes via their generating functions

doi:10.1007/s10543-015-0583-8

	Modified equations for weakly convergent stochastic symplectic schemes via their generating functions
	Wang, Lijin 1; Hong, Jialin2 ; Sun, Liying 1
	2016-09-01
发表期刊	BIT NUMERICAL MATHEMATICS
ISSN	0006-3835
卷号	56 期号:3 页码:1131-1162
摘要	In this paper, an approach of constructing modified equations of weak order () apart from the k-th order weakly convergent stochastic symplectic methods, i.e., stochastic symplectic methods with respect to weak convergence and of weak order k, is given using the underlying generating functions of them. This approach is valid for stochastic Hamiltonian systems with additive noises, and those with multiplicative noises but for which the Hamiltonian functions associated to the diffusion parts depend only on p or only on q. In such cases, we find that the modified equations of the weakly convergent stochastic symplectic methods are perturbed stochastic Hamiltonian systems of the original systems.
关键词	Stochastic backward error analysis Stochastic modified equations Stochastic symplectic methods Stochastic Hamiltonian systems Stochastic generating functions
DOI	10.1007/s10543-015-0583-8
语种	英语
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号	WOS:000382137200015
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23359
专题	计算数学与科学工程计算研究所
通讯作者	Wang, Lijin
作者单位	1.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 2.Chinese Acad Sci, AMSS, Inst Computat Math & Sci Engn Comp, POB 2719, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wang, Lijin,Hong, Jialin,Sun, Liying. Modified equations for weakly convergent stochastic symplectic schemes via their generating functions[J]. BIT NUMERICAL MATHEMATICS,2016,56(3):1131-1162.
APA	Wang, Lijin,Hong, Jialin,&Sun, Liying.(2016).Modified equations for weakly convergent stochastic symplectic schemes via their generating functions.BIT NUMERICAL MATHEMATICS,56(3),1131-1162.
MLA	Wang, Lijin,et al."Modified equations for weakly convergent stochastic symplectic schemes via their generating functions".BIT NUMERICAL MATHEMATICS 56.3(2016):1131-1162.