کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5776093 | 1631966 | 2017 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 325, 1 December 2017, Pages 134-148
Journal: Journal of Computational and Applied Mathematics - Volume 325, 1 December 2017, Pages 134-148
نویسندگان
Weien Zhou, Jingjing Zhang, Jialin Hong, Songhe Song,