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Drift-preserving nu...
Drift-preserving numerical integrators for stochastic Hamiltonian systems
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- Chen, C. C. (författare)
- Chinese Academy of Sciences
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- Cohen, David, 1977 (författare)
- Umeå universitet,Institutionen för matematik och matematisk statistik
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- D'Ambrosio, R. (författare)
- Universita degli Studi dell'Aquila,University of L'Aquila
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- Lang, Annika, 1980 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology
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(creator_code:org_t)
- 2020-03-16
- 2020
- Engelska.
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Ingår i: Advances in Computational Mathematics. - : Springer Science and Business Media LLC. - 1019-7168 .- 1572-9044. ; 46:2
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Abstract
Ämnesord
Stäng
- 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.
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)
Nyckelord
- Stochastic differential equations
- Stochastic Hamiltonian systems
- Energy
- Trace formula
- Numerical schemes
- Strong convergence
- Weak
- convergence
- Multilevel Monte Carlo
- runge-kutta methods
- differential-equations
- wave-equations
- energy
- discretization
- invariants
- simulation
- driven
- stage
- Mathematics
- Trace formula
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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