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Projection methods for stochastic differential equations with conserved quantities

文献类型：期刊论文

作者Zhou, Weien1; Zhang, Liying2; Hong, Jialin3; Song, Songhe1,4
刊名BIT NUMERICAL MATHEMATICS
出版日期2016-12-01
卷号56期号:4页码:1497-1518
关键词Stochastic differential equations Conserved quantities Projection methods Mean-square convergence
ISSN号0006-3835
DOI10.1007/s10543-016-0614-0
英文摘要In this paper, we consider the numerical methods preserving single or multiple conserved quantities, and these methods are able to reach high order of strong convergence simultaneously based on some kinds of projection methods. The mean-square convergence orders of these methods under certain conditions are given, which can reach order 1.5 or even 2 according to the supporting methods embedded in the projection step. Finally, three numerical experiments are taken into account to show the superiority of the projection methods.
资助项目National Natural Science Foundation of China[91130003]
WOS研究方向Computer Science ; Mathematics
语种英语
WOS记录号WOS:000388968500016
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24322]  
专题计算数学与科学工程计算研究所
通讯作者Zhou, Weien
作者单位1.Natl Univ Def Technol, Coll Sci, Changsha 410073, Hunan, Peoples R China
2.China Univ Min & Technol, Sch Math Sci, Beijing 100083, Peoples R China
3.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
4.Natl Univ Def Technol, State Key Lab High Performance Comp, Changsha 410073, Hunan, Peoples R China
推荐引用方式
GB/T 7714		 Zhou, Weien,Zhang, Liying,Hong, Jialin,et al. Projection methods for stochastic differential equations with conserved quantities[J]. BIT NUMERICAL MATHEMATICS,2016,56(4):1497-1518.
APA Zhou, Weien,Zhang, Liying,Hong, Jialin,&Song, Songhe.(2016).Projection methods for stochastic differential equations with conserved quantities.BIT NUMERICAL MATHEMATICS,56(4),1497-1518.
MLA Zhou, Weien,et al."Projection methods for stochastic differential equations with conserved quantities".BIT NUMERICAL MATHEMATICS 56.4(2016):1497-1518.

入库方式： OAI收割

来源：数学与系统科学研究院

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