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Drift-preserving numerical integrators for stochastic Hamiltonian systems 期刊论文
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2020, 卷号: 46, 期号: 2, 页码: 22
作者:  Chen, Chuchu;  Cohen, David;  D'Ambrosio, Raffaele;  Lang, Annika
收藏  |  浏览/下载：162/0  |  提交时间：2020/05/24
Stochastic differential equations  Stochastic Hamiltonian systems  Energy  Trace formula  Numerical schemes  Strong convergence  Weak convergence  Multilevel Monte Carlo  
Modified equations for weakly convergent stochastic symplectic schemes via their generating functions 期刊论文
BIT NUMERICAL MATHEMATICS, 2016, 卷号: 56, 期号: 3, 页码: 1131-1162
作者:  Wang, Lijin;  Hong, Jialin;  Sun, Liying
收藏  |  浏览/下载：83/0  |  提交时间：2018/07/30
Stochastic backward error analysis  Stochastic modified equations  Stochastic symplectic methods  Stochastic Hamiltonian systems  Stochastic generating functions  
DYNAMICS AND VARIATIONAL INTEGRATORS OF STOCHASTIC HAMILTONIAN SYSTEMS 期刊论文
INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2009, 卷号: 6, 期号: 4, 页码: 586-602
作者:  Wang, Lijin;  Hong, Jialin;  Scherer, Rudolf;  Bai, Fengshan
收藏  |  浏览/下载：108/0  |  提交时间：2018/07/30
Hamilton's principle  stochastic Hamiltonian systems  symplectic methods  variational integrators