Drift-preserving numerical integrators for stochastic Hamiltonian systems

doi:10.1007/s10444-020-09771-5

CSpace

	Drift-preserving numerical integrators for stochastic Hamiltonian systems
	Chen, Chuchu 1; Cohen, David 2; D'Ambrosio, Raffaele 3; Lang, Annika 4,5
	2020-03-16
发表期刊	ADVANCES IN COMPUTATIONAL MATHEMATICS
ISSN	1019-7168
卷号	46 期号:2 页码:22
摘要	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.
关键词	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
收录类别	SCI
语种	英语
资助项目	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研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000521127000001
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/50971
专题	中国科学院数学与系统科学研究院
通讯作者	Cohen, David
作者单位	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
推荐引用方式 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.