Projection methods for stochastic differential equations with conserved quantities

doi:10.1007/s10543-016-0614-0

	Projection methods for stochastic differential equations with conserved quantities
	Zhou, Weien 1; Zhang, Liying 2; Hong, Jialin3 ; Song, Songhe 1,4
	2016-12-01
发表期刊	BIT NUMERICAL MATHEMATICS
ISSN	0006-3835
卷号	56 期号:4 页码:1497-1518
摘要	In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The mean-square convergence orders of these methods under certain conditions are given, which can reach order 1.5 or even 2 according to the supporting methods embedded in the projection step. Finally, three numerical experiments are taken into account to show the superiority of the projection methods.
关键词	Stochastic differential equations Conserved quantities Projection methods Mean-square convergence
DOI	10.1007/s10543-016-0614-0
语种	英语
资助项目	National Natural Science Foundation of China[91130003]
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号	WOS:000388968500016
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/24323
专题	计算数学与科学工程计算研究所
通讯作者	Zhou, Weien
作者单位	1.Natl Univ Def Technol, Coll Sci, Changsha 410073, Hunan, Peoples R China 2.China Univ Min & Technol, Sch Math Sci, Beijing 100083, Peoples R China 3.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China 4.Natl Univ Def Technol, State Key Lab High Performance Comp, Changsha 410073, Hunan, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Weien,Zhang, Liying,Hong, Jialin,et al. Projection methods for stochastic differential equations with conserved quantities[J]. BIT NUMERICAL MATHEMATICS,2016,56(4):1497-1518.
APA	Zhou, Weien,Zhang, Liying,Hong, Jialin,&Song, Songhe.(2016).Projection methods for stochastic differential equations with conserved quantities.BIT NUMERICAL MATHEMATICS,56(4),1497-1518.
MLA	Zhou, Weien,et al."Projection methods for stochastic differential equations with conserved quantities".BIT NUMERICAL MATHEMATICS 56.4(2016):1497-1518.