Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations
文献类型：期刊论文
| 作者 | Chen, Chuchu1,2; Hong, Jialin1,2; Jin, Diancong1,2 |
| 刊名 | BIT NUMERICAL MATHEMATICS
 |
| 出版日期 | 2020-02-24 |
| 页码 | 41 |
| 关键词 | Stochastic differential equations Invariants Conservative methods Mean square convergence order Quadrature formula |
| ISSN号 | 0006-3835 |
| DOI | 10.1007/s10543-020-00803-6 |
| 英文摘要 | A novel class of conservative numerical methods for general conservative Stratonovich stochastic differential equations with multiple invariants is proposed and analyzed. These methods, which are called modified averaged vector field methods, are constructed by modifying the averaged vector field method to preserve multiple invariants simultaneously. Based on the a prior estimate for high-order moments of the modification coefficient, the mean square convergence order 1 of the proposed methods is proved in the case of commutative noises. In addition, the effect of the quadrature formula on the mean square convergence order and the preservation of invariants for modified averaged vector field methods is considered. Numerical experiments are performed to verify the theoretical analyses and to show the superiority of the proposed methods in the long time simulation. |
| 资助项目 | National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11971470] ; National Natural Science Foundation of China[11871068] ; National Natural Science Foundation of China[11926417] ; National Natural Science Foundation of China[11711530017] |
| WOS研究方向 | Computer Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000516441100001 |
| 出版者 | SPRINGER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/50858]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Jin, Diancong |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Chuchu,Hong, Jialin,Jin, Diancong. Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations[J]. BIT NUMERICAL MATHEMATICS,2020:41. |
| APA | Chen, Chuchu,Hong, Jialin,&Jin, Diancong.(2020).Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations.BIT NUMERICAL MATHEMATICS,41. |
| MLA | Chen, Chuchu,et al."Modified averaged vector field methods preserving multiple invariants for conservative stochastic differential equations".BIT NUMERICAL MATHEMATICS (2020):41. |
入库方式： OAI收割
来源：数学与系统科学研究院
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