Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems
文献类型：期刊论文
| 作者 | Wang, Peng1; Hong, Jialin2 ; Xu, Dongsheng2,3
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| 刊名 | COMMUNICATIONS IN COMPUTATIONAL PHYSICS
 |
| 出版日期 | 2017 |
| 卷号 | 21期号:1页码:237-270 |
| 关键词 | Stochastic differential equation Stochastic Hamiltonian system symplectic integration Runge-Kutta method order condition |
| ISSN号 | 1815-2406 |
| DOI | 10.4208/cicp.261014.230616a |
| 英文摘要 | We study the construction of symplectic Runge-Kutta methods for stochastic Hamiltonian systems (SHS). Three types of systems, SHS with multiplicative noise, special separable Hamiltonians and multiple additive noise, respectively, are considered in this paper. Stochastic Runge-Kutta (SRK) methods for these systems are investigated, and the corresponding conditions for SRK methods to preserve the symplectic property are given. Based on the weak/strong order and symplectic conditions, some effective schemes are derived. In particular, using the algebraic computation, we obtained two classes of high weak order symplectic Runge-Kutta methods for SHS with a single multiplicative noise, and two classes of high strong order symplectic Runge-Kutta methods for SHS with multiple multiplicative and additive noise, respectively. The numerical case studies confirm that the symplectic methods are efficient computational tools for long-term simulations. |
| 资助项目 | NSFC[91130003] ; NSFC[11101184] ; NSFC[11271151] ; NSFC[11021101] ; NSFC[11290142] ; Science Foundation for Young Scientists of Jilin Province[20130522101JH] |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000390196800011 |
| 出版者 | GLOBAL SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24379]  |
| 专题 | 计算数学与科学工程计算研究所 |
| 通讯作者 | Wang, Peng |
| 作者单位 | 1.Jilin Univ, Inst Math, Changchun 130012, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, State Key Lab Sci & Engn Comp, Beijing 100080, Peoples R China 3.Univ Chinese Acad Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Peng,Hong, Jialin,Xu, Dongsheng. Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems[J]. COMMUNICATIONS IN COMPUTATIONAL PHYSICS,2017,21(1):237-270. |
| APA | Wang, Peng,Hong, Jialin,&Xu, Dongsheng.(2017).Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems.COMMUNICATIONS IN COMPUTATIONAL PHYSICS,21(1),237-270. |
| MLA | Wang, Peng,et al."Construction of Symplectic Runge-Kutta Methods for Stochastic Hamiltonian Systems".COMMUNICATIONS IN COMPUTATIONAL PHYSICS 21.1(2017):237-270. |
入库方式： OAI收割
来源：数学与系统科学研究院
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