Quasi-symplectic methods for Langevin-type equations

IMA Journal of Numerical Analysis

Volumn 23, Issue 4, 2003, Pages 593-626

  Milstein, G N ^a,c   Tretyakov, M V ^b,d  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

^c URAL FEDERAL UNIVERSITY   (Russian Federation)

^d INSTITUTE OF MATHEMATICS AND MECHANICS   (Russian Federation)

Author keywords

Langevin equations; Mean square and weak schemes; Stochastic Hamiltonian systems; Symplectic and quasisymplectic numerical methods

Indexed keywords

ADDITIVE NOISE; DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; STOCHASTIC SYSTEMS;

HAMILTONIAN SYSTEMS; LANGEVIN EQUATION; LANGEVIN TYPE EQUATIONS; SEPARABLE HAMILTONIANS; STOCHASTIC HAMILTONIAN SYSTEMS; STOCHASTIC HAMILTONIANS; SYMPLECTIC; WEAK SCHEME;

HAMILTONIANS;

EID: 0142138089     PISSN: 02724979     EISSN: None     Source Type: Journal    
DOI: 10.1093/imanum/23.4.593     Document Type: Article

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