Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems

被引：1
|
作者：
Anton, Cristina [1 ]
机构：
[1] Grant MacEwan Univ, Dept Math & Stat, 5-103C,10700 104 Ave NW, Edmonton, AB T5J 4S2, Canada
来源：
APPLIED NUMERICAL MATHEMATICS | 2023年 / 185卷
基金：
加拿大自然科学与工程研究理事会;
关键词：
Stochastic Hamiltonian systems; Stochastic Runge-Kutta methods; Quadratic invariants; Symplectic integration; Pseudo-symplectic method; ORDER CONDITIONS; QUADRATIC-INVARIANTS; SYMPLECTIC SCHEMES; APPROXIMATION;
D O I：
10.1016/j.apnum.2022.11.013
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We give conditions for stochastic Runge-Kutta methods to near preserve quadratic invari-ants, and we discuss the associated simplified order conditions. For stochastic Hamiltonian systems we propose a systematic approach to construct explicit stochastic Runge-Kutta pseudo-symplectic schemes. Our approach is based on colored trees and B-series. We con-struct some pseudo-symplectic stochastic Runge-Kutta methods with strong convergence order, and we illustrate numerically the long term performance of the proposed schemes. (c) 2022 IMACS. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：18 / 37
页数：20
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