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Explicit pseudo-symplectic methods for stochastic Hamiltonian systems
Niu, Xinyan1; Cui, Jianbo2; Hong, Jialin2; Liu, Zhihui1,2
2018-03-01
Source PublicationBIT NUMERICAL MATHEMATICS
ISSN0006-3835
Volume58Issue:1Pages:163-178
AbstractWe construct stochastic pseudo-symplectic methods and analyze their pseudo-symplectic orders for stochastic Hamiltonian systems with additive noises in this paper. All of these methods are explicit so that the numerical implementations become much easier than implicit methods. Through the numerical experiments, we find that these methods have desired properties in accuracy and stability as well as the preservation of the symplectic structure of the systems.
KeywordStochastic Hamiltonian system Pseudo-symplectic method Explicit Runge-Kutta method
DOI10.1007/s10543-017-0668-7
Language英语
Funding ProjectNational Natural Science Foundation of China[11290142] ; National Natural Science Foundation of China[91530118] ; National Natural Science Foundation of China[91630312]
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Software Engineering ; Mathematics, Applied
WOS IDWOS:000426857000008
PublisherSPRINGER
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30141
Collection计算数学与科学工程计算研究所
Affiliation1.Shandong Univ Finance & Econ, Jinan, Shandong, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Niu, Xinyan,Cui, Jianbo,Hong, Jialin,et al. Explicit pseudo-symplectic methods for stochastic Hamiltonian systems[J]. BIT NUMERICAL MATHEMATICS,2018,58(1):163-178.
APA Niu, Xinyan,Cui, Jianbo,Hong, Jialin,&Liu, Zhihui.(2018).Explicit pseudo-symplectic methods for stochastic Hamiltonian systems.BIT NUMERICAL MATHEMATICS,58(1),163-178.
MLA Niu, Xinyan,et al."Explicit pseudo-symplectic methods for stochastic Hamiltonian systems".BIT NUMERICAL MATHEMATICS 58.1(2018):163-178.
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