Explicit pseudo-symplectic methods for stochastic Hamiltonian systems

doi:10.1007/s10543-017-0668-7

	Explicit pseudo-symplectic methods for stochastic Hamiltonian systems
	Niu, Xinyan 1; Cui, Jianbo 2; Hong, Jialin2 ; Liu, Zhihui 1,2
	2018-03-01
发表期刊	BIT NUMERICAL MATHEMATICS
ISSN	0006-3835
卷号	58 期号:1 页码:163-178
摘要	We 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.
关键词	Stochastic Hamiltonian system Pseudo-symplectic method Explicit Runge-Kutta method
DOI	10.1007/s10543-017-0668-7
语种	英语
资助项目	National Natural Science Foundation of China[11290142] ; National Natural Science Foundation of China[91530118] ; National Natural Science Foundation of China[91630312]
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号	WOS:000426857000008
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/30141
专题	计算数学与科学工程计算研究所
通讯作者	Liu, Zhihui
作者单位	1.Shandong Univ Finance & Econ, Jinan, Shandong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 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.