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CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY

文献类型：期刊论文

作者Chen, Chuchu1,2; Cohen, David3; Hong, Jialin1
刊名INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING
出版日期2016
卷号13期号:3页码:435-456
关键词Stochastic differential equations invariants conservative methods stochastic geometric numerical integration quadrature formula splitting technique mean-square convergence order weak convergence order
ISSN号1705-5105
英文摘要This paper proposes a novel conservative method for the numerical approximation of general stochastic differential equations in the Stratonovich sense with a conserved quantity. We show that the mean-square order of the method is 1 if noises are commutative and that the weak order is 1 in the general case. Since the proposed method may need the computation of a deterministic integral, we analyse the effect of the use of quadrature formulas on the convergence orders. Furthermore, based on the splitting technique of stochastic vector fields, we construct conservative composition methods with similar orders as the above method. Finally, numerical experiments are presented to support our theoretical results.
资助项目National Natural Science Foundation of China[91130003] ; National Natural Science Foundation of China[11021101] ; National Natural Science Foundation of China[11290142] ; UMIT Research Lab at Umea University ; Swedish Research Council (VR)
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000376450900006
出版者ISCI-INST SCIENTIFIC COMPUTING & INFORMATION
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/22806]  
专题计算数学与科学工程计算研究所
通讯作者Chen, Chuchu; Cohen, David; Hong, Jialin
作者单位1.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing, Peoples R China
2.Purdue Univ, Dept Math, W Lafayette, IN 47907 USA
3.Umea Univ, Matemat & Matemat Stat, S-90187 Umea, Sweden
推荐引用方式
GB/T 7714		 Chen, Chuchu,Cohen, David,Hong, Jialin. CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY[J]. INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,2016,13(3):435-456.
APA Chen, Chuchu,Cohen, David,&Hong, Jialin.(2016).CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY.INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING,13(3),435-456.
MLA Chen, Chuchu,et al."CONSERVATIVE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH A CONSERVED QUANTITY".INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING 13.3(2016):435-456.

入库方式： OAI收割

来源：数学与系统科学研究院

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