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Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise

文献类型：期刊论文

作者Zhou, Weien1; Zhang, Jingjing3; Hong, Jialin4; Song, Songhe1,2
刊名JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
出版日期2017-12-01
卷号325页码:134-148
关键词Stochastic differential equations Stochastic Runge-Kutta methods Symplectic integrators Mean-square convergence
ISSN号0377-0427
DOI10.1016/j.cam.2017.04.050
英文摘要In this paper, we construct stochastic symplectic Runge Kutta (SSRK) methods of high strong order for Hamiltonian systems with additive noise. By means of colored rooted tree theory, we combine conditions of mean-square order 1.5 and symplectic conditions to get totally derivative free schemes. We also achieve mean-square order 2.0 symplectic schemes for a class of second-order Hamiltonian systems with additive noise by similar analysis. Finally, linear and non-linear systems are solved numerically, which verifies the theoretical analysis on convergence order. Especially for the stochastic harmonic oscillator with additive noise, the linear growth property can be preserved exactly over long-time simulation. (C) 2017 Elsevier B.V. All rights reserved.
资助项目HPCL ; NSFC[11501570] ; NSFC[11571366] ; NSFC[11201125] ; NSFC[91130003] ; NSFC[11021101] ; NSFC[11290142] ; NSFC[91530018] ; foundation of department of education of Henan province[12B110010] ; young growth foundation of Henan Polytechnic university[B2390]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000404308000010
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/25814]  
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.Natl Univ Def Technol, State Key Lab High Performance Comp, Changsha 410073, Hunan, Peoples R China
3.East China Jiaotong Univ, Sch Sci, Nanchang 330013, Jiangxi, Peoples R China
4.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Zhou, Weien,Zhang, Jingjing,Hong, Jialin,et al. Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,2017,325:134-148.
APA Zhou, Weien,Zhang, Jingjing,Hong, Jialin,&Song, Songhe.(2017).Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise.JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,325,134-148.
MLA Zhou, Weien,et al."Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise".JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 325(2017):134-148.

入库方式： OAI收割

来源：数学与系统科学研究院

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