Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems
| dc.contributor.author | Anton, Cristina | |
| dc.date.accessioned | 2024-01-29T22:06:56Z | |
| dc.date.available | 2024-01-29T22:06:56Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | We give conditions for stochastic Runge-Kutta methods to near preserve quadratic invariants, and we discuss the associated simpli ed 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 construct some pseudosymplectic stochastic Runge-Kutta methods with strong convergence order, and we illustrate numerically the long term performance of the proposed schemes. | |
| dc.identifier.citation | Cristina A. (2023). Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems. Applied Numerical Mathematics, 185, 2023, 18-37. https://doi.org/10.1016/j.apnum.2022.11.013 | |
| dc.identifier.doi | https://doi.org/10.1016/j.apnum.2022.11.013 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14078/3400 | |
| dc.language.iso | en | |
| dc.rights | Attribution-NonCommercial-NoDerivs (CC BY-NC-ND) | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | stochastic Hamiltonian systems | |
| dc.subject | stochastic Runge-Kutta methods | |
| dc.subject | quadratic invariants | |
| dc.subject | symplectic integration | |
| dc.subject | pseudo-symplectic method | |
| dc.title | Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems | en |
| dc.type | Article Post-Print | |
| local.embargo.enddate | March 31, 2025 |
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