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Energy-preserving i...
Energy-preserving integrators for stochastic Poisson systems
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- Cohen, David (författare)
- Umeå universitet,Institutionen för matematik och matematisk statistik,Umeå University
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- Dujardin, Guillaume (författare)
- Inria Lille Nord-Europe,Institut National de Recherche en Informatique et en Automatique (INRIA)
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(creator_code:org_t)
- International Press of Boston, 2014
- 2014
- Engelska.
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Ingår i: Communications in Mathematical Sciences. - : International Press of Boston. - 1539-6746 .- 1945-0796. ; 12:8, s. 1523-1539
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.4...
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Abstract
Ämnesord
Stäng
- A new class of energy-preserving numerical schemes for stochastic Hamiltonian systems with non-canonical structure matrix (in the Stratonovich sense) is proposed. These numerical integrators are of mean-square order one and also preserve quadratic Casimir functions. In the deterministic setting, our schemes reduce to methods proposed in [E. Hairer, JNAIAM. J. Numer. Anal. Ind. Appl. Math., 5(1-2), 73–84, 2011] and [D. Cohen, and E. Hairer, BIT, 51(1), 91–101, 2011].
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- stochastic Poisson systems
- Stratonovich SDEs
- energy-preserving numerical schemes
- stochastic midpoint scheme
- Casimir function
- Mathematics
- matematik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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