Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4645074 | Applied Numerical Mathematics | 2015 | 15 Pages |
Abstract
In this paper, we give conditions for stochastic Runge–Kutta (SRK) methods to preserve quadratic invariants. It is shown that SRK methods preserving quadratic invariants are symplectic. Based on both convergence order conditions and quadratic invariant-preserving conditions, we construct some SRK schemes preserving quadratic invariants with strong and weak convergence order with the help of computer algebra, respectively. Numerical experiments are executed to verify our theoretical analysis and show the superiority of these schemes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
Jialin Hong, Dongsheng Xu, Peng Wang,