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Drift-preserving nu...
Drift-preserving numerical integrators for stochastic Poisson systems
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- Cohen, David (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Umeå universitet,Umeå University,Chalmers tekniska högskola,Chalmers University of Technology,Institutionen för matematik och matematisk statistik,Department of Mathematical Sciences, Chalmers University of Technology, University of Gothenburg, Gothenburg, Sweden
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- Vilmart, G. (författare)
- Université de Genève,University of Geneva,Section de mathématiques, Université de Genève, Geneva, Switzerland
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(creator_code:org_t)
- 2021-05-21
- 2021
- Engelska.
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Ingår i: International Journal of Computer Mathematics. - : Informa UK Limited. - 0020-7160 .- 1029-0265. ; 99:1
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Abstract
Ämnesord
Stäng
- We perform a numerical analysis of a class of randomly perturbed Hamiltonian systems and Poisson systems. For the considered additive noise perturbation of such systems, we show the long-time behaviour of the energy and quadratic Casimirs for the exact solution. We then propose and analyse a drift-preserving splitting scheme for such problems with the following properties: exact drift preservation of energy and quadratic Casimirs, mean-square order of convergence 1, weak order of convergence 2. These properties are illustrated with numerical experiments.
Ämnesord
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Stochastic differential equations
- stochastic Hamiltonian systems
- stochastic Poisson systems
- energy
- Casimir
- trace formula
- numerical
- schemes
- strong convergence
- weak convergence
- runge-kutta methods
- hamiltonian-systems
- differential-equations
- wave-equations
- energy
- discretization
- simulation
- invariants
- driven
- stage
- Mathematics
- stochastic Poisson systems
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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