KMS Of Academy of mathematics and systems sciences, CAS
| Drift-preserving numerical integrators for stochastic Hamiltonian systems | |
| Chen, Chuchu1; Cohen, David2; D'Ambrosio, Raffaele3; Lang, Annika4,5 | |
| 2020-03-16 | |
| Source Publication | ADVANCES IN COMPUTATIONAL MATHEMATICS
 |
| ISSN | 1019-7168 |
| Volume | 46Issue:2Pages:22 |
| Abstract | The paper deals with numerical discretizations of separable nonlinear Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and analyze a time integrator having the same property for all times. Furthermore, strong and weak convergence of the numerical scheme along with efficient multilevel Monte Carlo estimators are studied. Finally, extensive numerical experiments illustrate the performance of the proposed numerical scheme. |
| Keyword | Stochastic differential equations Stochastic Hamiltonian systems Energy Trace formula Numerical schemes Strong convergence Weak convergence Multilevel Monte Carlo |
| DOI | 10.1007/s10444-020-09771-5 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | Umea University ; National Natural Science Foundation of China[11871068] ; National Natural Science Foundation of China[11971470] ; National Natural Science Foundation of China[11711530017] ; National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11926417] ; Swedish Research Council (VR)[2013-4562] ; Swedish Research Council (VR)[2018-04443] ; GNCS-INDAM project ; PRIN2017-MIUR project Structure preserving approximation of evolutionary problems ; Swedish Research Council[621-2014-3995] ; Wallenberg AI, Autonomous Systems and Software Program (WASP) - Knut and AliceWallenberg Foundation ; STINT ; NSFC Joint China-Sweden Mobility programme[CH2016 -6729] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000521127000001 |
| Publisher | SPRINGER |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/50971 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Cohen, David |
| Affiliation | 1.Chinese Acad Sci, State Key Lab Sci & Engn Comp, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Umea Univ, Dept Math & Math Stat, S-90187 Umea, Sweden 3.Univ Aquila, Dept Informat Engn & Comp Sci & Math, Laquila, AQ, Italy 4.Chalmers Univ Technol, Dept Math Sci, S-41296 Gothenburg, Sweden 5.Univ Gothenburg, S-41296 Gothenburg, Sweden |
| Recommended Citation GB/T 7714 | Chen, Chuchu,Cohen, David,D'Ambrosio, Raffaele,et al. Drift-preserving numerical integrators for stochastic Hamiltonian systems[J]. ADVANCES IN COMPUTATIONAL MATHEMATICS,2020,46(2):22. |
| APA | Chen, Chuchu,Cohen, David,D'Ambrosio, Raffaele,&Lang, Annika.(2020).Drift-preserving numerical integrators for stochastic Hamiltonian systems.ADVANCES IN COMPUTATIONAL MATHEMATICS,46(2),22. |
| MLA | Chen, Chuchu,et al."Drift-preserving numerical integrators for stochastic Hamiltonian systems".ADVANCES IN COMPUTATIONAL MATHEMATICS 46.2(2020):22. |
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