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Drift-preserving numerical integrators for stochastic Hamiltonian systems

文献类型：期刊论文

作者Chen, Chuchu2; Cohen, David1; D'Ambrosio, Raffaele3; Lang, Annika4,5
刊名ADVANCES IN COMPUTATIONAL MATHEMATICS
出版日期2020-03-16
卷号46期号:2页码:22
关键词Stochastic differential equations Stochastic Hamiltonian systems Energy Trace formula Numerical schemes Strong convergence Weak convergence Multilevel Monte Carlo
ISSN号1019-7168
DOI10.1007/s10444-020-09771-5
英文摘要The paper deals with numerical discretizations of separable nonlinear Hamiltonian systems with additive noise. For such problems, the expected value of the total energy, along the exact solution, drifts linearly with time. We present and analyze a time integrator having the same property for all times. Furthermore, strong and weak convergence of the numerical scheme along with efficient multilevel Monte Carlo estimators are studied. Finally, extensive numerical experiments illustrate the performance of the proposed numerical scheme.
资助项目Umea University ; National Natural Science Foundation of China[11871068] ; National Natural Science Foundation of China[11971470] ; National Natural Science Foundation of China[11711530017] ; National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11926417] ; Swedish Research Council (VR)[2013-4562] ; Swedish Research Council (VR)[2018-04443] ; GNCS-INDAM project ; PRIN2017-MIUR project Structure preserving approximation of evolutionary problems ; Swedish Research Council[621-2014-3995] ; Wallenberg AI, Autonomous Systems and Software Program (WASP) - Knut and AliceWallenberg Foundation ; STINT ; NSFC Joint China-Sweden Mobility programme[CH2016 -6729]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000521127000001
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/50970]  
专题中国科学院数学与系统科学研究院
通讯作者Cohen, David
作者单位1.Umea Univ, Dept Math & Math Stat, S-90187 Umea, Sweden
2.Chinese Acad Sci, State Key Lab Sci & Engn Comp, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Univ Aquila, Dept Informat Engn & Comp Sci & Math, Laquila, AQ, Italy
4.Univ Gothenburg, S-41296 Gothenburg, Sweden
5.Chalmers Univ Technol, Dept Math Sci, S-41296 Gothenburg, Sweden
推荐引用方式
GB/T 7714		 Chen, Chuchu,Cohen, David,D'Ambrosio, Raffaele,et al. Drift-preserving numerical integrators for stochastic Hamiltonian systems[J]. ADVANCES IN COMPUTATIONAL MATHEMATICS,2020,46(2):22.
APA Chen, Chuchu,Cohen, David,D'Ambrosio, Raffaele,&Lang, Annika.(2020).Drift-preserving numerical integrators for stochastic Hamiltonian systems.ADVANCES IN COMPUTATIONAL MATHEMATICS,46(2),22.
MLA Chen, Chuchu,et al."Drift-preserving numerical integrators for stochastic Hamiltonian systems".ADVANCES IN COMPUTATIONAL MATHEMATICS 46.2(2020):22.

入库方式： OAI收割

来源：数学与系统科学研究院

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