Drift-preserving numerical integrators for stochastic Hamiltonian systems
Artikel i vetenskaplig tidskrift, 2020
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.
Trace formula
Strong convergence
Numerical schemes
Weak convergence
Stochastic differential equations
Stochastic Hamiltonian systems
Energy
Multilevel Monte Carlo
Författare
Chuchu Chen
Chinese Academy of Sciences
David Cohen
Umeå universitet
Raffaele D'Ambrosio
Universita degli Studi dell'Aquila
Annika Lang
Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik
Advances in Computational Mathematics
1019-7168 (ISSN) 1572-9044 (eISSN)
Vol. 46 2 27Approximation och simulering av Lévy-drivna SPDE
Vetenskapsrådet (VR) (2014-3995), 2015-01-01 -- 2018-12-31.
Ämneskategorier
Beräkningsmatematik
Reglerteknik
Signalbehandling
Fundament
Grundläggande vetenskaper
DOI
10.1007/s10444-020-09771-5