Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations

doi:10.1007/s10543-020-00803-6

CSpace

	Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
	Chen, Chuchu 1,2; Hong, Jialin 1,2; Jin, Diancong 1,2
	2020-02-24
发表期刊	BIT NUMERICAL MATHEMATICS
ISSN	0006-3835
页码	41
摘要	A novel class of conservative numerical methods for general conservative Stratonovich stochastic differential equations with multiple invariants is proposed and analyzed. These methods, which are called modified averaged vector field methods, are constructed by modifying the averaged vector field method to preserve multiple invariants simultaneously. Based on the a prior estimate for high-order moments of the modification coefficient, the mean square convergence order 1 of the proposed methods is proved in the case of commutative noises. In addition, the effect of the quadrature formula on the mean square convergence order and the preservation of invariants for modified averaged vector field methods is considered. Numerical experiments are performed to verify the theoretical analyses and to show the superiority of the proposed methods in the long time simulation.
关键词	Stochastic differential equations Invariants Conservative methods Mean square convergence order Quadrature formula
DOI	10.1007/s10543-020-00803-6
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11971470] ; National Natural Science Foundation of China[11871068] ; National Natural Science Foundation of China[11926417] ; National Natural Science Foundation of China[11711530017]
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号	WOS:000516441100001
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/50859
专题	中国科学院数学与系统科学研究院
通讯作者	Jin, Diancong
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
推荐引用方式 GB/T 7714	Chen, Chuchu,Hong, Jialin,Jin, Diancong. Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations[J]. BIT NUMERICAL MATHEMATICS,2020:41.
APA	Chen, Chuchu,Hong, Jialin,&Jin, Diancong.(2020).Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations.BIT NUMERICAL MATHEMATICS,41.
MLA	Chen, Chuchu,et al."Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations".BIT NUMERICAL MATHEMATICS (2020):41.